XML - Which method is most efficient?

A project I'm working on requires page information to be stored in an XML file.
In your opinion would it be better to store all the page data in separate XML files, or stick all the data inside one XML file?
What are the advantages/disadvantages over one method then the other?

It depends. Assuming you've constructed an intelligent XML structure, saving to one file would require the fewest number of disk io operations.