As long as you have 'Logformat: rrdtool' in your .cfg file, then the first time you run MRTG successfully, it will create the appropriate .rrd files in the WorkDir (called <targetname>.rrd). It will also subsequently update them automatically, you dont need to do anything extra other than periodically run MRTG. You get a separate .rrd per target.
I would suggest you keep multiple .cfg files, one per device, in order to keep your definitions tidy (and make it work better with routers.cgi
). Use Include: for global definitions, or to make a 'master' cfg file (see the HOWTO for details on how to achieve this).