best location for features related theming customizations
This is just my opinion...

The HTML class itself is not related to the theme, it's related to the module defining the element on which it's placed (if it is a feature specific class name as @barraponto points out in the comments). 

The styling for elements with that class is the theme's responsibility.

I would suggest that your code would be more appropriate inside the feature module. If it's not, imagine what will happen if you change themes...you'll lose the class that was on that element, meaning it can no longer be targeted for styling.