I can't really see why there would be any speed difference. I personally always use one file for every part of a form situation. I just use the value of the submit button to condtionally control what happens at any given time. If I want to allow users to view and or edit the data they entered before I send it along to the db then I just the change the value of the submit to "continue" or something like that.
The only time when I go to another file is when I need to use the header() function (for sending data to an external credit card proccessor for example). Using the header within the main file would in many cases be impractical since output would have already beeen sent to the browser.