>Are the Site-to-Site connections configured globally in Meraki and not on each MX itself, right?
Correct.
>Do I need to create a separate network tag for each MX, set up a tunnel for each MX, and then assign the individual MX tag to each tunnel?
Typically you would use a single tag for each destination. As long as you use the same PSK, phase-1 and phase-2 settings, you can then just apply this one single tag to every MX network that will be connecting to the same destination.