./ssh/known_hosts. It could be difficult to manage and brings troubles when you are accessing from another device.
Method (operates on local machine):
# ssh-keygen -t rsa
# cat ~/.ssh/id_rsa.pub | ssh user@server 'cat >> .ssh/authorized_keys'
# openssl rsa -in ~/.ssh/id_rsa -out key.pem
The last line was used to generate a .pem key file, so that we can use this key file to access the server, via:
# ssh -i key.pem user@server
Connecting via Windows:
Reference on RSA Key: