Configure DKIM & SPF on external mail server or where DNS records are stored?

view story

http://serverfault.com – I have a Linux server on example.com and an external mail server on mail.example.com. These two records are stored on Linux server: mail.example.com. IN A example.com. IN MX 5 mail.example.com. and till now there is no records configured on mail server. So where should I configure DKIM-Filter and SPF? On mail server or on linux server? (HowTos)