My suggestion for this is to create a base class and then have your components that need database access extend that component. It doesn't have to be in the immediate parent hierarchy but somewhere down the line.
They goal is to do two things, keep the cfc abstracted from the main program and keep it easily configurable. This accomplishes both.
So your CFC that queries the database would look something like this :
<cfcomponent extends="DataAccessBase">
<cffunction name="myFunction" access="public" returntype="string">
<cfquery datasource="#getDSN()#" name="qStuff">select * from table</cfquery>
</cffunction>
The key above is the extends="DataAccessBase"
portion. This adds the layer of abstraction where you can control the data access at one configurable point, but it's not tied to the application itself, leaving the component abstracted from where it's implemented.
Your DataAccessBase.cfc
could look something like this:
<cfcomponent>
<cffunction name="loadSettings">
<cfparam name="request.settings" default="#structNew()#">
<cfparam name="request.settigns.loaded" default="false">
<cfif request.settings.loaded eq false>
<!--- load settings from resource bundle etc --->
<cfset request.settings.dsn = 'myDSN'>
<cfset request.settings.loaded = true>
</cfif>
</cffunction>
<cffunction name="getDsn" access="public" returntype="string">
<cfset loadSettings()>
<cfreturn request.settings.dsn>
</cffunction>
You can of course get more intricate with how you configure and store the settings etc, but that's out of scope of the question I think. :)
I don't see any reason to pass the DSN with every method call. Yes, it works, but it's not necessary. The components are developed with a built-in assumption of the datastructure so you know that it is not going to change from a addItem() call to a updateItem() call, thus its duplication of work which means additional points of failure. :P
Make sense?