Group your CSS meaningfully and serve it carefully.
For example, if you have CSS that is applied through out your site (e.g. CSS reset) make it separate file and include it for each page.
Then for each logical component of your site create separate CSS file and serve it on pages that belong to respective logical component. (Say you have a blog and polls on your site, if blog never needs CSS for polls you don't need to include it in blog.) But bare in mind this isn't practical for small sites.
Group your CSS by media for which they are used. If you have style sheet for printing keep it separate of your basic sheets if it makes sense (don't use separate files if you only have single CSS property for printing since it is not worth the request time).
Keep in mind that more sheets assume more HTTP requests and each request costs certain amount of time.
So there isn't explicit way these thing should be handled, it's all about making your CSS easier to maintain and easy for client to download (less HTTP requests, smaller size etc.)