Usually the datasheet of the chip says how to connect the ground pins. You should connect them to the corresponding ground plane, analog or digital. The two grounds need to be connected in one point.
If you have only one mixed-signal chip, the best is to connect the two planes as close to the chip as possible (under it, if possible). If you have several then it is a bit more delicate.
In an ideal world, it wouldn't matter where the two planes are connected. But if for any reason there is a current leaking from one part to another (either because by mistake a AGND pin is connected to a digital ground, a DGND pin to the analog ground, or because of a design problem inside the chip) you can have return current problems. As an example if you have a current from the digital power supply that somewhat ends up partially on the AGND plane, it will try to find its way back to a decoupling capacitor on the digital part. It will go through the AGND plane, the AGND-to-DGND connection, and in the DGND plane to the capacitor. If the AGND-to-DGND connection is just under the chip it wan't matter a lot, because the current will follow a short path. But if the connection is on the other side of the PCB, this current will catch/generate a lot of noise on its way. So if you have several mixed signal ICs, try to keep them as close as possible and connect the two planes between them.