Yes, for a BMP, or Bean Managed Persistence entity bean, the database access data is coded into the BMP. Essentially, the SQL statements will be in the ejbCreate, ejbStore, ejbUpdate methods etc, although that does go a bit far into the topic of EJBs for the SCJA exam. But yes, you code SQL code into your own BMPs.
If you'd like more information about what goes into creating a BMP, I have a free multimedia tutorial on the subject:
Creating and Testing Bean Managed Persistence Entity Beans The tutorial is less about database access, and more about how a BMP works.
Still, don't let it scare you. For the SCJA exam, you need to know what a BMP does, and how it is different from CMP beans, but the ins and outs of creating and testing them is beyond the scope of SCJA.
Oh, and I'm glad you picked something up from the SCJA guide. I never actually thought anyone ever reads past chapter two of a technical book. I know I never do.
-Cameron McKenzie