In most cases it is simply easier to put all of your data into one file. There are very few disadvantages to this and it generally makes developing and maintaining your solution easier. Their are advanced techniques that can be used when separating your data into multiple files. One example is using multiple files to separate the UI from the data. Another would be if you where to develop an add on module that you wanted to lock down but allow it to integrate into other databases. NGRShip uses this approach for its UPS and FedEx Shipping addons.
Having developed a multi-file solution for my business over the last few years, I would say that given there is no limitation on the number of tables created in a single file, that the single-file approach is probably the way to go. One reason is the relationship graph gets complicated (duplication) with multiple files. On the other hand, if a solution is purposed to be modular (as is my current project) then the multi-file approach can make sense. Overall I say single-file.