The smartest way to work would be to set the Work Area Bar in each project so that you only output the segments of your videos you're going to use in your compilation. This will save you a lot of editing later as well as save you having to work with big, whopping files that you're only using short segments from.
The best way to do this depends on how you're going to publish your finished video. Is it going onto a DVD? BluRay? YouTube or other online site? Video for a portable device, like an iPad?
Each has its own best workflow.