The most correct thing is to create a directory with the name lua/ and inside it put all the files that will be imported by init.lua, example:
I think to not do that, at least when just starting with NeoVim configuration.
Instead, I would keep adding configuration in init.lua to see what happens in which order, will be easier experimenting moving things around, without behind-the-scenes loading.
This seems a nice feature though, looking forward to leveraging it when I have some fixed parts to load.