As per Yahoo's Performance Rules [source], It is VERY IMPORTANT to minimize HTTP requests
From the source
Combined files are a way to reduce the number of HTTP requests by combining all scripts into a single script, and similarly combining
all CSS into a single stylesheet. Combining files is more challenging
when the scripts and stylesheets vary from page to page, but making
this part of your release process improves response times.
It is quite uneasy to develop using combined files, so stick to developing with multiple files but you should combine the files once you are deploying the system on the web.
I really recommend using boilerplate's ant build script. You can find it here.
It Combines and minifies CSS