at the end of your init file, and it'll behave more or less as you intend; if you've got a lot of stuff hanging off after-init-hook, you might do well to hang server-start off it as well.
That said, yeah, it will create a window which if killed will shut down Emacs, so I tend to prefer invoking it with the --daemon option instead; that way, I don't have to worry about accidentally killing Emacs if I kill the wrong frame. (I also call server-start in my init file, but I'm not actually sure that is necessary when invoking Emacs with --daemon.)
That said, yeah, it will create a window which if killed will shut down Emacs, so I tend to prefer invoking it with the --daemon option instead; that way, I don't have to worry about accidentally killing Emacs if I kill the wrong frame. (I also call server-start in my init file, but I'm not actually sure that is necessary when invoking Emacs with --daemon.)