If it has auto mounted but you are not sure where then you can check /etc/mtab
You can run that command before and after you insert the pen drive. Any new lines that appear will tell you the device name and where it has been auto mounted.
grep "/dev" /etc/mtab
This is for my passport. The device name is in red and its mount point is in green.
matthew@matthew-laptop:~$ grep "/dev" /etc/mtab
/dev/sda1 / ext4 rw,errors=remount-ro 0 0
none /dev devtmpfs rw,mode=0755 0 0
none /dev/pts devpts rw,noexec,nosuid,gid=5,mode=0620 0 0
none /dev/shm tmpfs rw,nosuid,nodev 0 0
/dev/sda7 /home ext4 rw 0 0
/dev/sda16 /home/matthew/my_virtual_machines ext4 rw 0 0
/dev/sda8 /home/matthew/my_documents ext4 rw 0 0
/dev/sda5 /home/matthew/my_storage ext4 rw 0 0
/dev/sdb1 /media/My_Passport fuseblk rw,nosuid,nodev,allow_other,blksize=4096,default_permissions 0 0
So from the terminal i would copy file into /media/My_Passport. It is case sensitive.
EDIT: This command is even better
grep "^/" /etc/mtab