The answer to the first question, "Is it senible to try to compile kernel without graphics card driver and without harddisk driver?" is: it depends. If I'm compiling for a known hardware set that won't change under normal circumstances, I always compile all my hw drivers into my kernel, HD and graphics cards included. Once you've built a kernel, it's easy enough to recompile if there are updates to a driver, and I think it simplifies things considerably, since a host of potential problems are eliminated if the driver is built into the kernel, rather than loaded from some location where it could be lost, corrupted, renamed, replaced with incorrect data, etc. Some people also like to disable loading modules completely for locked-down hosts for security reasons.
On the other hand, if you change your system around more frequently, using modules is more flexible. You can rebuild or replace an individual driver with out recompiling the whole kernel, or add new drivers, as well.
Regarding the second and third questions, "Do these drivers presented in "make menuconfig" and where they are if yes?"
Yes,but I don't have a system with kernel source at hand immediately, but the drivers in general will be under the device driver tree, in their respective sub-trees, like SCSI or IDE for the disks, etc. If nobody else has posted something more specific when I get access to my home machines later, I will update these locations, but I'm sure someone out there has that information at hand.