Call it a personal choice, but prefer to keep the DTD separate from the *ML files. This goes back to my SGML days, when I would write a DTD and distribute it to people who would write compliant SGML.

HTML, sadly and frequently, breaks from adherence to the DTD, but XML at least makes an attempt to return to it.

Since one DTD may engender many XML document, I prefer to keep it separate, but as I said in the beginning, it's a personal choice.