2
It is entirely up to you.
Some people have designed themes that use 'blocks' in the left and right columns, but not in the middle.
Having seperate 'block' files simply allows you the opportunity to use different formats/graphics for each of the areas that content can be placed in a theme.
Take a look at the 'nitelite' theme, that one is a good example of only using one html file. (it's the one I use most often when making my own)
Happy Xoopsing!