I've saved a number of models by pickling them to disk, so that I can use
them multiple times on different data. Many of these models were built
using feature selection, so they don't use all the features of the data set
(ie. 19 rather than 22 for example). Are the selected features/features
used stored anywhere in the model?

I can't use the models on the data as I would like because the data has
more features, and the number of feature in the input must match the number
of features in the model. If I can just find the features the model is
using, it's trivial to strip them out of the input data, but so far I
haven't found anything that gives me this information.
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