Only Entity Beans that are packaged in the same ejb-jar can have CMR relationships with each other. Therefore if all of your Entities are truely related in some way then they must all reside in the same ejb-jar.
Typically it is easier to manage multiple ejbs in a single jar then it is to manage multiple ejb-jars. The other benefit is your ejbs will deploy faster in a single jar then in multiple jars (this is from my experiences with
JBoss and WebLogic).
I suggest using a tool that helps you manage the descriptors like
Xdoclet.