app/code/core/* files to the same path at
app/design/frontend/base/default/layout/* files to the same path at
app/design/frontend/base/default/template/* files to the same path at
Following the above ensures you are extending Magento so that any future upgrades to the Magento platform will not overwrite what changes you have made. Only the files that you wish to modify need to be replicated at the local/theme paths.
You can edit how the PDF's are constructed by extending the files at
app\code\core\Mage\Sales\Model\Order\Pdf - without knowing exactly what you wish to do within the PDF's, it's hard to elaborate but no, there isn't any template files to edit the PDF's directly because they are constructed using the Zend_Pdf component of the Zend framework of which you can learn more about here.