When creating SQL scripts, what methods do you use when working with them?

More specifically:
How do you split the SQL across files? For example, do you put things relating to each table into separate files (table creation, indexes for the table, etc.), or do you group similar things into the same file (all indexes in one file, all table creation in another file, etc.)? Maybe you just have ONE BIG file that contains all the code?

Thanks for your input!