You can keep it on the SBS box, though that would not be the preferred
solution if you only had Server 2008 terminal servers.
Since you are planning on adding a new terminal server, I'd strongly
recommend going with Server 2008 R2. There are substantial improvements in
key areas in the R2 release for Remote Desktop Services (RDS, the new name
for Terminal Services.)
--
Charlie.
http://msmvps.com/blogs/russel