Are there any instructions or best practice on setting up the large SharePoint content DB (larger than 1 TB) on multiple SQL data files?

We currently have a SharePoint site collection (thus one content DB) and having issue with the performance.  According to MS and MCS, it is because of the size (1TB+) and the number of items (millions) in that single content DB.

I need the detailed instructions on setting up this on multiple SQL data files and it still needs to stay as one site collection (because it is integrated with the Dynamics CRM 2011 site and it can't handle multiple SharePoint sites)

To the best of my knowledge you can't distribute a single SQL Content Database across multiple files.  Your only choices are to either archive material, to decrease the size of the content database, or break up the site collection into multiple site collections.  Those are your only real choices.

You would just add additional data files as necessary to the database via SSMS/T-SQL. They must be part of the same FILEGROUP. Unfortunately the existing data you have will remain in the primary data file, although new/modified data would likely go to the new data file since it is significantly smaller.