It would be better to do the following:
1. Have only one or two external CSS files per page.
2. Serve CSS compressed when possible.
3. Ensure that CSS does not require any server-side processing or compression, that the server just spits out a .css or .css.gz file when the CSS is requested.
4. Ensure that the CSS files are relatively small.
5. Serve the CSS files with a very long cache time and with a version/hash string in the object name.
6. If feasible, make CSS changes relatively relatively rare.
If you do all of these things, adding the style into the web page will clutter your HTML and slow things down for frequent visitors. Yes, it might also increase perceived performance for some users who have not visited the site since the last change to the CSS.