Is there any convention for naming php files?
Not talking about php class files, but files that are mostly HTML with some php inside them.
Should it be my-file-example.php
I would suggest you to use underscore separators my_file_example.php, CodeIgniter for example use this convention for it's view files.
With dashes, some IDE/Text Editor don't select all the filname by double clicking on it, while with underscore it select, generally, all the file name.