Two questions!
1. Sometimes - some people put them all on the one domain; others think this is too risky (if the engines ban it you've lost *everything*). I tend to have a central domain I try out ideas on and then they get spun out to their own domain when they have 'earned' it.
2. Steps:
a) find sites in the niche in question (often this is the hard part)
b) contact the site owner to ask for a link (although some peopple find this the hard part
)
Lea