I insert it at the end of the content block. If you were to grab the raw XML file, you’d see that block at the end of every <![CDATA[]]> block that contains the text of a given post.
If it helps, here’s the shell script I use to generate individual item blocks for my RSS feed.
I actually do exactly the same. I have an rss.php file I use to generate the entire feed and in there I have that custom footer added after the content of each post.