How are upload files stored? I have a custom content entity. For this entity, I want add multiple uploaded files.
After I set this up, I looked at the database and saw:

file_managed =&gt; stores all files uploaded by a managed_file field
file_usage =&gt; links between your entity and the table file_managed

So for the managed_file field form, I don't need to create a field into my entity content (database), I just add a field into the EntityForm directly:
  $form['image'] = array(
      '#title'=&gt;t('Image du produit'),
      '#type' =&gt; 'managed_file',
      '#upload_location' =&gt; 'public://produits/',
      //'#default_value' =&gt; array(),
      '#description' =&gt; t('png jpge jpg'),
      '#upload_validators' =&gt; array(
          'file_validate_extensions' =&gt; array('png jpg jpeg'),
      ),
      '#multiple'=&gt;true,
  );

And then I can upload multiples files.
Then in my submit :
public function save(array $form, FormStateInterface $form_state) {
    $entity = $this-&gt;entity;


      foreach ($form_state-&gt;getValue('image') as $image) {
          $file = \Drupal\file\Entity\File::load($image);
          $file-&gt;setPermanent();
          $file-&gt;save();


      $file_usage = \Drupal::service('file.usage');
      $file_usage-&gt;add($file, 'boutique', 'produits_entity',$entity-&gt;id());


      }
}

I store image reference into the file_usage table and set it permanent. At this point all is good.
But I need to load all files when user want edit my entity, I can load this from the file_usage table and build my

'#default_value' =&gt; array($images)

I want to know if it's a good practice and if Drupal 8 work like that.
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.