Well, I prefer the SharePoint path where you create the databases from the main SharePoint administration page in Central Administration. Just take a look at how SharePoint handles the creation of new web applications, where you will be asked to name the database server and the name of the SharePoint content database.
, WSP. WSP ( ASPX), , , SQL-. , .
SharePoint, SPPersistedObject class, - , , .
MSI , , SharePoint.