There are all kinds of ways to design a site, so asking which is better than another is more often going to get you a response involving a personal preference - and it is okay to have your own preference.
But if you are intending to create a true Flash site, then that term is usually moreso associated with having just one html page. The Flash content is where you make the decisions you are asking about... whether to include it all in one Flash file or to create separate Flash files (per section) that get loaded into a main Flash file.
The bottom line... pick what you are comfortable with and get the experience under your belt. Since you indicated this is your first Flash site, if that means there will be more, then you can use those opportunities to try different approaches.
If you intend to have transitions, then separate html pages is definitely out. Transitions within Flash can be managed regardless of whether you have it it one file or load separately.
As far as loading time goes, whatever is in your site will weigh the same regardless of how you divide it, so overall loading time will be equal across the board. The benefit of loading content dynamically (meaning having separate swf's, videos. image galleries, etc) is that you are less likely to make people wait for all your content to load. You load on as as needed basis, so waiting time is seemingly reduced since you are not waiting for the entire site to be loaded before you can proceed... I know I will more often leave a site that has me waiting for it... fear that something sinister/viral is being loaded into my machine.
I won't argue with anyone about the "best" way. However, a professional and fully long-term maintainable Flash website is not even done with the timeline, but using OOP (Object Oriented Programming), meaning big AS3 coding and different strategies for different aspects of a fonctional website.
So my point is not to fall deep into the details in any way, but to perhaps arouse your curiosity regarding OOP, a whole new world...