I was just asking the exact same thing! You do indeed see a few of them walking around Kings Landing. That is offcourse in character with the Dothraki. After Khal Drogo died they followed new leaders and split up. So I guess they will do exactly the same now.
The question offcourse remaining is: they were so succesfull in conquering Westeros, they litterally ran over whole armies, why wouldn't they stay and occasionally plunder... let's say The Reach for instance?