You do it how it best suits you.
But I make my model using Milkshape ... then export it out as a "Milkshape 3D ASCII" file, then into CharacterFX.
Set up your bone structure + vertex weights + animations ... then it's ready to export straight out as a DirectX model ( .X ) and into DBpro.
I always save my setup and animations as a default .CFX file as well ..... that way I can add to/alter/change any part on the animation I want at a later time if need be.
SO if I have a model which has say >> 15 different anims, and I decide I want a few more .... just load in your .CFX file and sort it.
Spec - AMD Athlon 1000mhz - 256mb DDR - Gforce2mx 400 - 60gb HD - 19" Compaq - DVD rom