I'd say your dimension goes in your data warehouse/data mart. I'm not sure from your description if that is #2 or #3.
#1) I'm assuming that your transactional system (AX) has it's data stored in a normalized (3NF) database with some type of history records showing the time frames/spans for then the suggested price applies. This would feed your dimension, but I wouldn't put it here. Why would you put a denormalized dimension in your transaction system?
#2) By "interim" database, do you mean this is your staging database? If so, the data from the source system would pass through here, but not your ultimate destination for the dimension.
#3) If this is your star schema dw/datamart that your SSAS cubes data source views point to to build your dimension, then this is where I'd put the dimension.