An assembly comprised of many small part files is going to be easier to work with than a single part file that incorporates all of these parts into a single file. So yes it may create many files on disk but that may be what you have to do to ensure that you can work with data in a reasonable fashion. Think about… one huge part file or many small files in an assembly; which do you think will have a bigger impact on your performance when working with the data?
When importing the file into an assembly template make sure that the setting "Import Multiple Bodies As Single Part file" In the STEP.ini file is set to On. This will reduce the number of files you create when importing as an assembly.
As for the Optimize command, you need to understand this if you are going to be working with imported data. See this post regarding why you Optimize: