The best by far is to use one main mapfile and with the INCLUDE directivedirectives to call other mapfiles (all of them being "simple and specific Map Files" btw). This will definitely speed things up definitely,. I tested that and the result is quite impressive. This idea comes from here: http://mapserver.org/es/optimization/mapfile.html
"If you have a complex application, consider using multiple simple and specific Map Files in place of one large ‘do everything’ Map File."
Check this very nice post and blog from Simon, he's a very nice guy working with mapserver and related things: http://smercier1.mapgears.com/blog/?p=37. I used these performance tips and they do work. Here you have another link, but Simon basically explained that already that in his blog.
Hope this helps,