It should all go in one file. Here’s an example:
set :application, "my-app"
set :repository, "git@git.my-git-host.com:my-app.git"
set :keep_releases, 5
set :deploy_via, :remote_cache
set :git_enable_submodules, true
set :scm, :git
set :user, 'your-user-here'
set :deploy_to, "/var/www/staging.mydomain.com"
set :branch, 'staging'
set :rails_env, 'staging'
role :web, "machine1.mydomain.com", "machine2.mydomain.com", "machine3.mydomain.com"
role :app, "machine1.mydomain.com", "machine2.mydomain.com", "machine3.mydomain.com"
role :db, "db.mydomain.com"
# ...
You’ll see that only one db server was specified. This is the machine the migrations will be run from. If you only have one database (99.9% chance of the answer to that question being YES), then make sure to only provide one.