I don't think it's supported by Lazarus (yet?).
You can put the files in [YourPath]\lazarus\fpc\2.2.4\units\i386-win32\
This should make compiler find them always. But you likely want to also make Lazarus IDE find them so you can actually jump in code...
...and then in Environment options -> CodeTools -> General - Source search path. Now, i don't know exactly how to use this editbox because it doesn't have hints in it, can you separate paths with ";", and how to make it work with sub dirs? It seemed to dislike "D:\" etc, but i tried like:
$(LazarusDir)\fpc\2.2.4\units\i386-win32\MyLibrary\
This does not work always and i end up copy-pasting the same thing in Compiler options -> Other unit files... of every project.