Data modules are designed precisely for this purpose. Data modules can be thought of as TForms without visuals or as carrier elements for invisible components.
Especially in database applications, things can quickly become confusing if you have too many components on a TForm.
My structure:
I have a data module that contains ONLY the database connection (e.g. SQL connection, transaction, monitoring). I have also made this data module a singleton object so that it is always accessible throughout the programme.
I use data-sensitive controls on TForm and if there are only 2 or 3 queries and dataset components, I place them on the form.
If there are more, the TForm gets its own data module. Then everything becomes quite clear.
When the data module or TForm is opened, the connection is assigned to the queries.
I also use data modules to structure other components, e.g. image lists.