Depends on your ESC, if it has reverse on it don't install a schottky diode else it will go pop..
When you hit the brakes on a brushed system the motor gives off electrical current, this ends up going back to the ESC and causing the brake FETs to overheat. running the diode on the motor, or inline to the motor soaks up this current and stops the overheating..
Most entry level ESC's which require them already have them installed internally, some top end models require you to add one yourself.. This way manufacturers can make the units smaller thus saving you space and choice of where to put the SD.
ps - that's as I understand it anyway.