Where to store versioned/historized records?
We use Change Data Capture. SQL Server essentially creates journal tables and then automatically reads from the transaction log and fills in the journal tables with information about DML operations on the original table. 

To save space, we compress the journal tables. This means your journal tables are stored in the same database, but if you are having space issues, you could offload them to a different file/filegroup and store that on a different disk. 

The journal tables are in a separate schema so you could exclude that entire schema from your short-term backups and only include them in your long-term backups.