Nathaniel is talking about the integration work I mentioned (e.g. Conda handles this for the most part by building packages against the same DLLs so they don’t conflict).
Otherwise, adding one as package_data to go alongside the extension module that requires it is sufficient.
For 3.8 I also enabled better control over DLL resolution, so you can keep them in a separate folder from your module if you prefer: https://mobile.twitter.com/zooba/status/1112204206071373826 (it doesn’t solve the problem Nathaniel is talking about automatically - you need SxS assembly manifests for that, but so few people ever got those to work that they’ve been abandoned now)