It makes sense to separate them for shared libraries because they may be distributed in a compiled form without the source. I've seen projects that separate out "public" headers (headers that may be accessed from code outside your project or library) while leaving "private" headers and source files in the same directory. I think it's good to use a consistent approach whether you're writing shared library or application level code because you never know when you may want to turn something that you've written at the application level into a lower level library that is shared by multiple projects.
