Well, either the message source or the message’s destination? I.e. what topic was the message published to. But yeah, usually better/easier to handle messages in different callbacks as you know they’re coming from different sources. (default session-level callback for Direct messages, or a per-queue callback).
Note that all of these callbacks are fired on the same API-owned Context thread. In C#, you cannot block that thread for any processing (unless super super fast), and messages should be handed off to an application-owned thread for further processing.