It stays in your lungs! That's ok. Your lungs might feel heavy afterwards but it passes.
If you get it good and deep in your lungs it gets absorbed. Smoke will do this, too, but not as much because the chemicals that primarily make up vapor are hydrophilic (they readily absorb and get absorbed in water). In fact, what you see when you exhale is mostly water bound with the propylene/glycerin. Some of it probably gets to your bloodstream, but most of it is probably worked out in the mucus that naturally migrates out of your lungs.
It's the tar and physical ash in actual smoke, BTW, that gets stuck in the lungs and causes most of the problems associated with it.
And as a small aside, like Sheila hinted at, if you're stealthing, blow it down. Ever notice that smoke rises but vapor will sink? If you blow it towards the ground it'll eventually just settle there: it won't waft back up like smoke does.