Where to add php scripts? Urgent.

Ok well I’m making a application form on one of my pages and I want it to bring in some script from a file called sendmail.php. It has this in the file

<?php
  $email = $_REQUEST['email'] ;
  $message = $_REQUEST['message'] ;

  mail( "[email protected]", "Feedback Form Results",
    $message, "From: $email" );
  header( "Location: https://www.xin-gaming.com/processed" );
?>

But the thing is it can’t find the sendmail.php. Where do I put the file? I’ve tried putting it into the theme folder with the rest of the pages e.g. wp-content/themes/xin/ but when I put it there a 404-error came up once I try and submit it through the entry form. Here is the code iv got on my page:

<form method="post" action="sendmail.php">
  Email: <input name="email" type="text" /><br />
  Message:
  <textarea name="message" rows="15" cols="40">
  </textarea><br />
  <input type="submit" />
</form>

Or do I put the php into the functions part? Thanks in advance.