Put Excel-VBA code in module or sheet?

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What is good practice and good code hygiene? Putting code in Modules or Sheets?

I have this Excel Workbook, with user interfaces in each sheet. Each sheet within the workbook does a different part of some overall task. Should I place the code relevant to each sheet inside the Sheet objects, or in Modules? Group into one module, or separate modules?

I'm using Excel 2003.

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