That's entirely up to you (and your computer ). The bigger the size, the bigger the file, the longer your computer's going to take to complete actions. You can get around that by doing different sections in different files then merging them eventually - i.e., one file for your raw geography, another file for your labels, a third for the outer border and decorative elements. In my maps, the things that suck up the most space are usually the decorative stuff - the rhumb lines, the outer borders, stuff like that. I usually either do those in a separate file or save them for last.

You could also do a world map in sections (like, North America in one file, Europe in another, etc) and then eventually merge them together. That way no one individual file is going to crash your computer. The tricky part would be getting them to line up correctly if two or more sections share elements, like half a continent on each or something.