They can reside on the same server.
If you move components to a second server, you have to license both servers.
If you have cubes of any significant size, I would recommend at least moving Analysis Services to it's own server as it will need a lot of memory and it is better to keep it from conflicting with the SQL database engine. Also, at this point you should be using 64 bit servers and software to take advantage of the low cost of memory these days.