I use Unpoly and not HTMX but similar idea, what you do for components entirely is up to you.

My components look like this. The JS and CSS is included in the application's bundles. Ruby renders HTML on the server side.

  app/components/breadcrumbs
    - _breadcrumbs.scss
    - breadcrumbs_component.rb

  ...
  app/components/search_field
    - _search_field.scss
    - search_field_component.rb
    - search_field.js
    - selections.html.haml