Unless it's going to be more than 6-10 files, I think it can live in the same directory, though it should probably have its own ASDF file. However, I will not complain if it's subdirectoried off.
I was really thinking of adding two files: web.lisp (I'll take suggestions for a better name) and style.css - I'm really not sure where to put the style sheet - really, I intend it to be modified locally so your monitor can match your corporate colors, etc. ;P
Initially, I was thinking of generating the CSS from Lisp, but then I thought better of it and decided I'd rather be able to hand the style sheet to some web monkey to make my page pretty (and web monkeys don't know Lisp ;) and I don't want the latest CVS version of the web code to kill the style sheet I worked so long and hard on ;P .
Jim