As is usual with .conf files, that is up to you and your way of organizing them. I tend to group directives having to do with the same concept into a dedicated file, for example, here's how I organize the .conf files having to do with nvidia/nouveau:
/etc/modprobe.d/blacklist-nvidia.conf
blacklist nvidia_modeset
blacklist nvidia_drm
blacklist nvidia
and /etc/modprobe.d/blacklist-nouveau.conf.inactive:
blacklist nouveau
Since they are mutually exclusive, I keep them in two files and add .inactive to the end of the one which is inactive at the moment. I can then easily do:
mv /etc/modprobe.d/blacklist-nouveau.conf{.inactive,}
mv /etc/modprobe.d/blacklist-nvidia.conf{,.inactive}
if I wish to switch them.
Read man 5 modprobe.d for more information.