As a rule, put your includes in the .cpp files when you can, and only in the .h files when that is not possible.
You can use forward declarations to remove the need to include headers from other headers in many cases: this can help reduce compilation time which can become a big issue as your project grows. This is a good habit to get into early on because trying to sort it out at a later date (when its already a problem) can be a complete nightmare.
The exception to this rule is templated classes (or functions): in order to use them you need to see the full definition, which usually means putting them in a header file.