never, never, never run an enterprise database and web server on the same machine. they each need dedicated boxes. you are going to be in for poor performance and frequent crashes -- especially if you are running on Windows or Linux OS, but true on Solaris as well.
these are both cpu and memory intensive applications, designed to run on dedicated servers. each is designed to make optimum use of the OS and all resources for it's own purposes.
you almost won't believe the performance cost to the database by running a web server on the same machine. you'll halve the resources available to it (when your web server isn't experience peak traffic) and you severely limit the number of usable connections to the db.
you are nearly assured to get thread locking when peak web server usage coincides with peak database usage -- causing reboot and possible data loss.
the only case where this is ok is if you are running a mid-range or main frame server, which I'll bet you aren't, else you'd probably talking about Oracle or DB2 and maybe WebSphere but not Cold Fusion.
you are right. not only is it not a good idea, it is a recipe for disaster. if implemented, at some point down the road, you'll be fixing it, at a much greater cost than building it right in the 1st place.