I took this during a 2008 trip to Rome. Their tomb is located in the crypt level of the Church of the Holy Apostles in Rome. In 570, Pope John III placed the bones of Sts. Philip & James, recently brought back from the east, in this church and dedicated it to them and to all the Apostles.
A seminary buddy, Fr. Gary Coulter, studied in Rome and has posted many of his pictures online. Here is a photo he took of the tomb.