When Islam was founded, the burial places of the Three Wise Men were destroyed...
But there should be some sort of historical record of their burial.
http://en.wikipedia.org/wiki/Saveh
There are several aspects of Saveh in Iran that is interesting to Christians... It appears that according to Marco Polo that the The Three Wise Men were incorruptibles -- though they may have been preserved artifically.
Additionally, there was a lake near Saveh. It is legend that at the birth of Mohammed that the lake dried up...
Since this is a desert area, this would bode ill for the area...
Since the time of the rising of Islam is around 666 AD, it is in my opinion both the time of the rising of Islam (666 AD) and the drying up of the lake was a warning about Islam.
As mentioned before, the followers of Mohammed destroyed the tombs of the Three Wise Men...