The Vongola has two major bases; the Iron Fort, which is their original headquarters in Italy, and then, there was one constructed in Japan during the ten years after Tsuna officially became the tenth. The Japanese Vongola base has, however, been somewhat abandoned due to the danger of the nearby Yakuza gangs, and Tsuna relocated everyone to the Iron Fort where it would be more safe.

So, to answer, they've been in Italy for the entire twenty or so years.