Many devices have 2 external cables: a power supply and a signal. They make 2 good antennas for EMI. The purpose of a CM choke is to prevent wiring (external and internal) to act as antennas, thus suppressing RF emissions. Therefore the logical place for CM chokes is where the wires leave your device or PCB. The entire common mode current must pass (actually: not pass) through the choke, so make sure that there is no parasitic bypass path, like a capacitance or 2 magnetically coupled loops. This risk is greater if you put the choke earlier in your circuit.
Our EMC experts used self-made current loops with BNC connectors, connected to an oscilloscope or spectrum analyzer, to locate the sources of EM emissions. Then you know which loops to make smaller, or which common mode currents to suppress. A decoupling capacitor is for making RF current loops smaller. The problem with CM current in external cables - antennas - is that it flows into an very large loop, so suppressing it with chokes is the only option.
The easy way out is to put chokes on the actual cables, but then the user must not substitute cables. If you see a choke near or inside the mains plug then that is for suppressing conducted emission, to satisfy legal rules about not polluting the mains. Normally radiated emission and conducted emission go hand in hand, think antenna and ground. If 'you' only stop the CM current at the end of a cable then I think 'you' are just making a dipole antenna and fooling yourself.