One document, using Document Map in Word to make it easy to jump from chapter to chapter.
Yes, this is how I do it now, once I discovered the Document Map feature. I first started out saving them as seperate chapters, but that was because I'd take them to work on a floppy and it could only hold a few chapters at a time, trying to fit the whole novel on a single floppy was impossible.
Then I discovered that I was using Word's "allow fast saves" option. Once I clicked that off the whole document shrank to a manageable size and I could fit the whole manuscript on a floppy.
Keeping them all as seperate chapters was a pain if I wanted to do a search of any kind because I'd have to do several seperate searches through each chapter. Word's book feature, where you can tie everything up in a "master" document was worthless and a pain in the neck.
So I went to one large file and happily use Document Map.