C++ compiling different .cpp files including them in the header file [duplicate]

As i said in the title i want to know if is an error to include .cpp files in their respectively .h

I'm compiling using cygwin on windows. The g++ compiler was installed in cygwin using apt-cyg install g++.
Then i added the cygwin path to env and now the g++ command is reachable from a windows cmd.

Here's a basic example to reproduce the problem.

main.cpp

#include <iostream>
#include "tezt.h"

int main(int argc, char const *argv[])
{
    tezt();
    return 0;
}

tezt.h

#ifndef TEZT_H
#define TEZT_H

void tezt();

#endif

tezt.cpp

#include <iostream>
#include "tezt.h"

void tezt() 
{
    std::cout<<"tezt"<<std::endl;
}

If i compile using simply g++ main.cpp i get errors.
So in order to compile correctly i should type g++ main.cpp tezt.cpp or define libraries.
It can be a trivial task when managing with multiple .cpp files stored in different folders.

So i'm proposing this approach:
if i modify the content of tezt.h, like follow, compilation is successfully! It can be a good "workaround" or it's not recommended? It's a colossal stupidity?

#ifndef TEZT_H
#define TEZT_H
#include "tezt.cpp"

void tezt();

#endif

Thanks for the attention.