What's the best way to use sound?

Mix all the sounds together in a sound editor to one long sound file and then
let the sound file play from start to finish or use several sound files and
play the right sound at the right frame?

Are there any ups or downs between mixing one long or many short?

It really depends on what types of sounds and what they will be used for.
For example, if you want a song to play to some animation for many frames in a
row, then you can stream one long mp3.
Or if you need different sounds to play at certain parts or events, then
independent files would be better.

I would always use the shortest, smallest files, they will load much faster
and thats what your really after.
But as a rule, I always trim and process my sounds with an editor, like
Wavelab, Soundforge, ect...

Mike