How are upload files stored?
I don't need to create a field into my entity content (database), I just add a field into the EntityForm directly
...
I want to know if it's a good practice and if Drupal 8 work like that.

No, what you described is not good practice. For a Drupal entity to interact easily and correctly with a field, you should add the field to the entity, not add the widget to the form.  It is probably possible to make it work but it will be harder to build and maintain.