Are they found regularly in the world (at least in the anime?).
No in the games and anime. In the games, they're typically found in ruins that are usually difficult to get to. In their first appearance, you had the Ruins of Alph, which was accessible, but you couldn't get any unown to appear until after you solved several puzzles (some of which
were a bit annoying to get to). In FrLg, you had the ruins in the Sevii Islands, and aside from actually getting there in the first place (which took a hike and a surf), you had to unlock the unown once again, if I recall correctly. In DPP, it's significantly easier because the ruins are lightly guarded (just a few hops away), although two types of unown are literally sealed within a separate chamber that needed to be excavated first.
In the anime, they're generally thought to reside in an alternate dimension.
Simply put, they're not usually found in the normal world, no.
Would it make sense that they could go to both their own dimension
And their own? Yes, they have that capability. They just don't often do it for some reason (probably because the anime doesn't like to focus on single pokémon for multiple episodes or movies).
Though would that place in the 10th movie, be the same place as where the Unown escaped to in the 3rd movie?
According to
Bulbapedia, it is.