If you want, everything can just be in theme.rc, which is guaranteed to be "included" (per the OTS2 standard). More complex themes are often broken into additional files - one per module, or one per theme "component", etc., as the themer sees fit. These additional files must then be "included" by the theme.rc file. Look at some of the existing themes for some examples - check out how "include" lines are used in them.

So... the short answer is "theme.rc", the long answer is "wherever you want". =)