How to correctly connect stepper drivers to transformer.

To each it's own.
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There in no difference either way will work, but i like to keep things compartmentalized.

Also you may do better performance wise by using 2 windings in series for all drives
so 57V rather than 28.5V (assuming the drive is OK with 57VAC, )

28.5V is roughly equal to 40 VDC  and 57V is roughly equal to 80VDC

You would get better high speed performance with the 57VAC

Since the drives can handle it, i would stick with PCW's advice.
Do not worry much about drives getting hot, if you can hold your hand on the cooler they are still far from what they can handle, and just in case, if you touch them and a piece of your skin remains attached to them this would be when you start to worry.
50-60 degree Celsius to us humans seems like it is burning, 80 feels like it burns the soul, not the hand.

Leave it as is.
Wire stuff, make stuff move, make chips...and post pictures and videos.