Well, you need to have them on an object that is consumed by the AnnotationConfiguration object during initialization. You don't generally feed DAO's to the Hibernate Configuration object, although it is a must with any JPA annotated POJO.
You suggested entities or DAOs. What about a third type, maybe a class that does nothing else other than hold named queries?
You know, you could totally eliminate the discussion by using the Criteria API.
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