There is really no right answer to this. Whether you use a separate Form for each screen, or some other UI element like a Panel or UserControl it's going to use pretty much the same resources. That means it's not going to have much impact on load speed, memory pressure, etc (assuming you demand-load those resources).
Personally I usually use a single Form containing one of more Workspaces. I then create a UserControl for each View (you are separating View code from the Model, right?) and I use the OpenNETCF IoC framework to display those Views inside the appropriate Form's workspace. I actually use the same framework and methodology for desktop apps.
This certainly isn't the only way to do things, but it's worked well for us on several large-scale applications as well as small stuff (meaning the methodology is both extensible and scalable).