If you're loading all those stylesheets on every page, then yes it's better in 1 file..
I wonder... wouldn't those stylesheets not be cached on your local drive? Furthermore, in a corporate environment, it's more likely that small files get cached in a proxy server, while larger files wouldn't (squid for instance has a default maximum cache size of 4Kb).
You might want to consider the overhead of setting up tcp sessions for every request your browser has to do to the web server, however since http/1.1 persistent connections are default, saving the session setup overhead.
OTOH: having one stylesheet keeps administration of it a bit easier, since you don't have to search for the right file to make changes.
I would go for one file (unless the stylesheet is used for different purposes - screen vs print) :-)