INCLUDE is a way to copy working storage definitions of the SQLCA or SQLDA into the source code of a DB2 program. The record layouts for these are stored in DB2 and are inserted by the DB2 pre-compiler. All COBOL programs using DB2 should have the SQLCA included to examine DB2 return codes. The SQLDA is used for dynamic SQL in a COBOL program. You can also define your own record layouts and store them in DB2, but most people don't do that.
User created record layouts of DB2 tables (created by DECLGEN or hand coded), other working storage records, or other reusable procedural statements, are usually stored in a COPYBOOK managed by a source code management system like PANLALET (or whatever source code management system you are using).