I always export seperate files. If you don't do this, how should they know which of the holes should not be plated?(apart from guessing based on copper connection and size)
Non-plated holes are drilled in the last step, often combined with routing.
In theory, holes without an annular ring are non-plated. At some (most? all?) board houses I've used, they drill all the holes up front then plate the entire board. This results in *all the holes* being plated at this point. However, in the etching step, the plating gets etched out of the non-plated holes since there is no etch resist over the non-plated holes. Look at the copper layer in the gerbers for a board with plated and non-plated holes - the plated ones show copper over the hole, the non-plated ones don't - this layer creates the etch resist layer. With no mask over the non-plated holes, the etchant can get into the holes and remove the previously plated copper.
That said, many board houses still want separate drill files. But some don't. Read the specs/file instructions for your particular board house before shipping off something wrong for that particular house.