I think it depends on how much data there would be in one big file, and
how complex it would be loading in separate other files - how big each
of those would be. 

I would try and keep it all in one file if possible, but if it's a huge
amount of data, I would separate them and load them one at a time - you
could build a cool loader animation for them.  

Also, consider the content of the XML - if it's all related, makes sense
to have them in the same file, but if the XML server totally different
purposes, I think it can make sense to make the files separate.  For
example:

settings.xml <--- application settings
media.xml  <--application content
services.xml  <--application web services

But then those are OK to all put in the same file too.... so it's both
an architecture performance question, and also a style question.  

Be careful of creating references in one XML to another, that can get
messy and buggy unless you do it right - doesn't mean it's bad, it just
depends on how you implement it.

Jason Merrill 
Bank of America 
Enterprise Technology & Global Risk L&LD 
Instructional Technology & Media

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