It depends on what you want to do. Think of the terminal
server as a workstation in this instance. If you need to
access the resources and take advantage of the
manageability a domain provides then it should log onto a
domain. Your question is very general, and really depends
on what you are trying to do.
Typically you will logon to the domain. Otherwise you may
have to setup local account for all the users so they can
logon to the box.
Logging on to the domain also allows single logon for
accessing remote resources.
Steve