I hear a lot about things that, it is a lot cheaper to buy new harddisk than pay staff to come up with genius ideas how to save resources. But what I don't understand, is how these databases handle a situation when I need to allocate a new harddisk. Should I design this in the application layer or leave these things entire to the database. And is it even possible to have multiple database files for one table on multiple drives and have them connected somehow?
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Leave these things entirely to the DBMS.
Most if not all DBMSes these days come with, or can be configured to work with monitoring software such that the DBA can be paged at 3AM should diskspace become a problem.
Of course, most DBAs would be rather more pro-active in monitoring something as basic as storage requirements to avoid being woken at such a time.
In general, when using a DBMS, you want to leave the headaches of monitoring and error conditions to the DMBS and its monitoring software. But be sure to talk with your devops team if you're building an enterprise class mission critical app.