Hi Sayhi,
It's up to you. Your module can hook into standard DNN classes (class="Normal", class="NormalRed", etc) which are typically implemented by whatever skin you're using, or you can add a link to your own module-specific stylesheet.
I think good general guidance would be to rely on "standard" DNN classes whenever possible (this includes datagrid styling), and to use a custom module stylesheet when this isn't sufficient.
When it comes to using a custom module stylesheet, you can choose to deploy it as an internal resource, as a file-based stylesheet in your DesktopModules\[ModuleName] directory, or into a portal-specific directory. The location you choose will depend on the customization you wish to allow your end hosts and admins.
Hoppe this helps!
Brandon