In practice, yes, two diagrams relating to two modules are designed seperately. It respects some kind of the best practice of "separation of concern". That said, it depends on what you want to do with your class diagrams. As James explained, if you plan to generate some code from your diagrams, it makes sense to put them all together as they are part of the same application. But if you plan to document your application, it's often much easier to export diagrams when they aren't too big, for example to fit in a web page. In that case I would make the diagrams seperately. If you don't have a real modeler yet, take a look at GenMyModel (http://www.genmymodel.com), it's an online modeler producing UML-compliant models and it can both generate code and export images. It does everything in your web browser and it's a free beta.
Hope this helps,