You can use the dbAppendObject() command to put all of the animation information into the one file.
Just remember that you will be appending the first frame of the source animation to current last frame of the target model, which will increase each time you append something to it.
But to answer your question, there is no right and wrong way to do it, it all depends on how you have your models setup and how you design you animation controller. The only thing I would suggest is that for a single project, you do it all the one way.
If it ain't broke.... DONT FIX IT !!!