For the Splunk App for Enterprise Security, Is there any documentation that will tell me which config files should go on the indexer and which should go on the search head in a distributed environment?
Why, yes there is an Install Manual.
http://docs.splunk.com/Documentation/ES/3.3.1/Install/Overview
Read it through entirely before attempting an Install. ES is a tricky beast at times, and if you are new to ES or Splunk, you may want to contact Splunk PS.