Culture district (theatre in this case) takes Great Works.
Religious Districts (holy site/Lavra) take Relics (temple has a slot) and Religious Art (need a specific religious building though).
Many wonders also take great works, and the best way to see that is to look at their tooltips in the tech/civic trees.
Also, look at the Great Works UI.. it shows you every slot/slot type you have in your empire. You also use that screen to move great works around to make space (*or shift around the great works so that new cities get more culture for border expansion).
The Palace can take almost all great works (no artifacts), so it's auto filled first generally. If you got a random relic, but had no temple, that's where it would go. Just get a temple, move the relic, then drop the writing GW in the palace.
On top of that:
When you have a GWAM selected (Writer, Artist, Musician) it will highlight all locations on the map where you can bring it to drop off it's WAM. Not sure the Generals also have that, as it may be confusing to see a hex highlighted if you're not planning on retiring the General.