Sargent's paintings are all over. The Wikipedia site illustrates quite a few, and the locations are given for most. Where they are not, you need only click on the image and then scroll down on the page with the enlargement. See below.
The Olga site also gives locations, and there's a Wiki site specifically on "Madame X," (and also the standard Metropolitan Museum site), so I'm a bit puzzled that you say you couldn't find anything.
What search terms were you using? The proper approach is simply to google "Sargent" and "Madame X". That would have taken you to a site giving all of the information you needed.