That all depends on how you build your modules. If you create a separate module for each screen, then yes, get a bunch of swf's. You get 1 swf per module in your application. I would question whether each screen really needs to be a separate module, versus a few modules with various states for various screens.
For example, you might have a collection of screens, like a multi-screen registration form. That should be 1 module, with several states for each screen.
Hope that helps.