You don't need to put them all in one directory, just make sure you don't use the ridiculous structure that h2xs creates. Schwern has talked about modifying h2xs at some point so that it will no longer do this. With a sane directory structure, you can check things out directly from CVS and use them right away without running make (assuming they are not XS modules), even if they are multiple directories deep. The structure shown in that tutorial you linked to is correct, and you'll note that it is different from what h2xs generates.
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