> Is there an interleave compression check box for After Effects.
Are you referring to interlacing? You can use the Field Render option in the render settings to make interlaced video.
> I remember a tutorial saying to check a check box during export; otherwise, the file will be huge. Problem is I forgot and can't find that check box.
It seems that you are asking a general question about compression. Start here, and come back if you have questions.
There has never been a dedicated audio interleave checkbox in AE and even if there were, it would have no effect on file size - interleaved PCM data is just as big as the separate WAV/ AIFF file. In order to reduce file size, you would have to use a compressed audio CoDec, but that's very much a specific output format setting and has nothing to do with AE as such.