For the most part, any unburned calories are stored as fat. I know that carbs convert in the liver to fat if unused. I am not sure of the mechanism with unburned protiens.
The important thing is calories in -vs- calories out. Any extra calories will get stored as fat. But I hate saying that because it makes it sound so life or death.
So long as you are eating the correct amount of calories for you body and your activity level... you will be fine.