I have created a Set of Custom Fields called "Tracking" to be used for any Contributions. The Custom Fields created in this set are called "Category" and "Job".
However, I can't see these fields anywhere I have looked? Where should they appear?
They should be displayed if you view or edit a contribution which can be done in various ways. For example pull up a contact who has a contribution, go to the tab "contributions" and click on view for a contribution.
Be aware that if you want to be able to find the contributions via a search you should make the fields searchable.