My projects usually include dozens of files, some of them small, some of them huge. Years ago I included them myself which caused 2 problems: really long list of includes (most of them redundant for most of the tasks), dependency problems (the code was very sensitive for loading order). Then I tried a simple auto-loader.
See http://pl2.php.net/manual/en/ref.spl.php
It made life easier, since it auto-magically included only necessary files. Default spl_autoload is very fast, but causes problems with upper case letters in class names. Aditionaly it requires to name the files exactly like classes, which can be a problem if you decide to put more than one class in a file (sometimes there's a reason for it). I wrote my own auto-loader in PHP, which does very advanced class mapping. First I expected it to significantly slow down my app. I've done some tests and here's what I've found.
A file include is nothing compared to normal data processing. It's almost insignificant since every file is included exactly once, while any silly foreach operation can run thousands of times. Notice that all file requests don't really read files from servers HD, they use memory cache which lasts way shorter than any PHP code loop (because OS calls are written in C).
My opinion: forget about it. Do not care. The only one thing which really can cause some performance impact is loading too much redundant files - they use servers memory and it could matter under heavy load. Use autoloader - you'll forget that include or require exist.