For performance reasons, it is considered a best practice to limit the number of index files being processed. For example, it will be quicker to process a single index file that references 10 data files instead of processing 10 index files that each reference a single data file.
However, keep in mind that each file being processed will consume an amount of memory on the temporary hard drive location of the workstation equal to the size of the file being processed. Therefore, you should always ensure that your processing workstation has enough memory to process your index files before running the process.