Definitely best practice for all libraries that cannot be included on Drupal.org due to GPL or other reasons.
Dan discovers in the FCKeditor WYSIWYG documentation
Extract the archive and copy its contents into a new folder in the following location:
sites/all/libraries/fckeditor
So the actual library can be found at:
sites/all/libraries/fckeditor/fckeditor.js
Sweet! If only they were all consistent!