Explain undo persistence in FAQ

Closes #34.

README.markdown

@@ -63,6 +63,25 @@ below.
 Feel free to [let me know][GitHub issues] which setting you object to, so I
 can reassess whether it makes sense to include it.
 
+> What's with these `.*.un~` files?
+
+Basically, they make it so that you can undo things that happened in a
+previous invocation of Vim.  See `:help undo-persistence` for details.  If you
+don't like them strewn all over the file system, you have a few options.
+
+1.  Create the appropriate directory that sensible.vim automatically configures for
+    your platform:
+    * `~/.local/share/vim/undo` on Linux
+    * `~/Library/Vim/undo` on OS X
+    * `~\Application Data\Vim\undo` on Windows
+2.  Provide your own preferred location in `'undodir'`:
+        set undodir^=~/.vim/undo//
+3.  Disable them entirely:
+        set noundofile
+
+You can also just globally ignore them in your SCM of choice.  That's what I
+do.
+
 ## Contributing
 
 I want this to be a plugin nobody objects to installing.  [Let me