You can put it in any circuit that's required for the machine to run. If you put it in a wire between the key and the starter, for example, they won't be able to start it. A battery disconnect will require a much heavier kill switch than a solenoid or relay wire switch.
For an example, my Razor has up and down buttons on the gear shift to control the winch for snow plowing. I was always hitting them so I put a dash switch in the wires from those buttons to the winch relay. I only needed 18ga wire for the relay but I would have need heavy winch power cable and switch to put it on the winch itself.
If you want to kill all the power, I suggest putting a solenoid in the battery cable and power it with a hidden switch. One problem with cutting all the power is if you have any devices that need full time power, like a clock. Killing all the power will hose your settings.