Where should the ground wire go at a light switch with no ground screw?
If you have a metal box then it should be grounded. That has been in the NEC forever. Since 2008 or 2011 (can't remember) light switches have been required to be grounded but if your house was built before that then you are not required to bring it up to code. It is grandfathered, otherwise all homeowners would have to make changes every time the code changes. 

However, it is never a bad thing to bring things up to current code if you want. And yes if you have multiple ground wires in a box they should all be connected together. 

Happy Day!