The least amount of CSS files you can manage the better for efficiency as it's less http requests to your server with less CSS files. But sometimes it cannot be helped. Many times I will combine multiple ones if they are not so huge (some of the external ones you get from outside sources are quite large) and end up confusing as JR has already stated, easier to find things in them. But many times it's not so huge that you can't combine them.
The main key to combining them though is to make sure you aren't overlapping code. Many times a specific script will call a specific CSS file and as long as you keep it separated there is no overlap, but when you combine them you usually have to adjust the path to the CSS file and of course make sure that no tags are duplicated with different attribute values. If you do find some that overlap, you can always rename them and change the class/id/etc. in the HTML file to reflect that change.
Hope that helps
