I may not be correct but IMO I would prefer just one file with solid/surface bodies. In other word keep the number of files as less as possible so that SOLIDWORKS doesn't have to load lot of files when opening them.
I don't have a definitive answer for you, but another option would be to make the parts in the assy Virtual Components after importing.
Another consideration is which condition best suits your company's internal systems (part/assy numbering, BOMs, purchasing, etc)?
i had the same thoughts as you Deepak, but i am interested to see what others think.
Kelvin, we don't use our imported data for drawings and things. it is pretty much totally used as reference in our main plant model. but i agree with your comments. each one needs to be assessed on its use.