By all means keep them separate for development, but you should consider bundling them together into one file for production.
There is a nice discussion at sitepoint.com
For each of these files, an HTTP
request is sent to the server, and
then the browser awaits a response
before requesting the next file.
Limits (or limitations) of the browser
generally prevent parallel downloads.
This means that for each file, you
wait for the request to reach the
server, the server to process the
request, and the reply (including the
file content itself) to reach you. Put
end to end, a few of these can make a
big difference to page load times.