The best way to know if they're better together or separate is to cut them as is. In the case of nested dies, you'll be cutting shapes inside of shapes, and end up with windows instead of solid pieces - so those should be cut apart. Small dies that are threaded together can be left connected - if they coordinate with stamps and you'll usually be using them all together, keeping them intact makes stamping and cutting easier (see Step 10 in our Stamped Die Cuts
tutorial. If you have a set of smaller pieces that are all cut from different colors, you might find cutting easier if they're separated.