I have a VECTOR struct that holds 3 integers, i, j, and k. I need to utilize this struct in more than one header file. Is it considered bad practice to move all #defines, and structs, all constants to a separate header file labeled, "Constants.h", or should I define the same struct in each header file where I currently use it?
It is very good practice to move definitions into header-files, so that they can be used in different compilation-units. This ensures that all your compilation-units always use the same definitions of your classes and constants (see here for a more elaborate explanation with examples).
It is, however, bad practice to put them all in one header-file. This makes all compilation-units that use this header-file recompile, even on completely unrelated changes. You should group things together that belong together in some sense - unrelated things should be in different headers. It is sometimes useful to provide one header that includes all, for convenience, but such a feature should only be used for quick prototyping or after careful consideration of the implications - compilation-times can quickly become very long. This answer lists some ideas on how to organize your headers.
Note that you should try to avoid macros for constants in C++ - prefer static const T, e.g.:
static const int foo = 42;
Macros are not typesafe and can introduce subtle bugs due to the way are expanded. This question lists some cases when macros are actually useful.
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