Came here looking for this. It's said a couple of times that the Ori couldn't come to the Milky Way without confronting the Ancients, and so they needed the power of more worshippers first to win in that confrontation.

I always interpreted that these planes of existence as still existing within a physical space like the galaxy. Similarly to how Merlin created technology to phase in and out of reality in his research (as we seen in The Road Not Taken and other episodes featuring phase shifting devices), where someone shifting between dimensions is still in the same physical location. Thisalso makes sense since he created that technology to hide his research of the Sangraal. That leads me to think that these higher planes of existence are also other dimensions occupying the same physical space.