The safety gap is not absolutely necessary, but it is a very good idea. If you want a safety gap, you will have to put it directly off the transformer. Generally they have three contacts--one connected to one side of the transformer, another connected to the other side of the transformer, and a center one to ground. This protects the transformer from voltage spikes on either side of the transformer's secondary. The contacts should be set just wide enough so that they do not spark during the Tesla coil's regular operation, but will only spark if there are large voltage spikes. The rotary spark gap (or static gap, depending on which style you're using) should be completely separate, and needs to spark in order for the TC to work. It acts as the high voltage switch that sends the stored energy from the capacitor through the primary. It needs to be completely separate from the safety gap.
Regards.