There is no one rule of thumb for performance. Generally, inline everything that's small enough to inline. If it's big enough such that caching a separate file will help you on subsequent page loads, then put it in a separate file.
Test and measure. If you can't measure the difference, it doesn't matter. If you don't measure the difference, the rule you are following probably isn't helping you.
[1] http://www.stevesouders.com/blog/2013/09/05/domain-sharding-...
[2] http://www.stevesouders.com/blog/2008/03/20/roundup-on-paral...