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DTOs TOs in Sequence diagram

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hi, i know this is an old discusion here. but it is necesary to show the DTOs and TOs in the sequence diagramas
For example:
1. A client call a session facade asking for a list of something (for example flights) and
2. this sessionfacae call an applicacion service (another SLSB) and then
3. applicacion service call a FastLaneReader object,
4. FLR call a DAO
5. a DAO execute all the needed SQL sentences to retrive all flights asked before.

And the question heres is,
1) Where i create de DTOs, (inside DAOS or inside application service), off course one of this objects call a DaoFactory to create them from the domains models (perhaps entitys EJB)
2) should i show in the sequence diagrams all the steps needed to create this DTOS, or could i show in a separarte sequence diagram.
3) this DTOS and DTOSs Factorys are included in the class diagrams ? ( i read this before) but i thinks is a better aproach to put it in a separare class or componen diagram, or as the detail of a DTO componentes (whith al classes and Factorys)

Please Help
Thanks a lot
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