You should read this very interesting article about memory optimization with cocos2d: http://www.learn-cocos2d.com/2012/11/optimize-memory-usage-bundle-size-cocos2d-app/
Of course you can manually unload textures when you want (see CCTextureCache and CCSpriteFrameCache) but from my experience it's usually better to preload as much as you can and not worry about unloading unless it actually raises memory issues.
Then I'd say that the fewer sprite sheets the better, but given that the maximum supported texture size is 2048×2048 for some devices like iphone 3GS and iphone 4, I'd recommend not using "one massive" sprite sheet (unless you can keep it within this 2048×2048 size)