What's the "best way" to handle multiple classes?

In my app (EXE) I do a SET CLASSLIB TO in the MAIN program, and list each of my class libraries. I have basic classes (common to all my apps), classes unique to the specific application, and then a bunch of third party classes I've acquired over time.

Is it better (memory or speed optimized) to put all my control casses in a single VCX? Is it better to SET CLASSLIB TO for each class as
I need it in the different forms or menus.

Any "rules of thumb"?