There is only 1 .edmx is enough for your whole application.
The approach is always depends on your requirements:
1. If you don't have the database upfront, use Model based or code first approach. In this approach, the database will get generated automatically from the Model.
2. If you have the database already for the application, Database first approach will be useful. In this approach, we generate the model classes based on the database artifacts like table, stored proc, views etc.
It is always good to create a separate application for the Entity Framework and then build it and add its reference to the main application.
Hope it will be helpful to you.
Pawan Awasthi(DNS MVM)
+91 8123489140 (whatsApp), +60 14365 1476(Malaysia)