You don't have to fill out any specific paperwork at this time, but my advice would be this: if you're having the microchipping and the rabies vaccination done at the same place on the same day, have your vet create some sort of record of the time that each was performed, so that you can show clearly that the chip was implanted (and then read) before the rabies vaccination was given. PETS is pretty strict about that.
Otherwise, like Kristina said, you don't HAVE to get everything done at the same place - but not doing so is going to cause a lot of hassle down the line when the third country health certificate is filled out 10 days before leaving the country, as that form refers back to each of the steps and it's definitely useful if your vet has the same documentation as you. I've got the itemized receipts/printouts from each visit beginning with the microchipping and rabies booster back on March 10th, and I'm going to take those with me to the vet on Wednesday so that together we can make sure we've got everything covered before I take the paperwork to the USDA vet on Thursday.