VSTSDB Continuous Integration Best Practice: Installing our integration test SQL Server on the same box as TFS Build Agent?

Question

We are beginning to use Visual Studio Database Edition 2010 (VSTSDB) for our continuous integration. In short I have our nightly build creating the Deploy SQL and then running the script on a SQL Server. I will eventually have integration unit tests run on the newly created database(s) after the build is dropped and database is created.

I am wondering about the best practice of where to keep the testing SQL Server for the build. This would either be the same box as the TFS Build Agent, or on another system.

Any help is appreciated.