I have found article that skims over this. But my main question is do I need a separate .html file for each screen? I am thinking yes but I would like an unanimous vote. Als
This is a very subjective topic but is also becoming a much larger trend. Some prefer single page web sites (mobile apps). The wiki article here does a great job discussing the problem that single page apps solve.
Specifically in JQM, the transitions from one page to the next are much smoother when the data is on the same page. This affect can also be achieved if you prefetch commonly used pages by adding the data-prefetch
attribute to your link.
However it may depend largely on the size of your project. The jQuery Mobile documentation touches on some of the performance issues of large DOMs here.