To an extent, the orthodox approach of dedicating a separate .cpp and .h file for every class is the way to go. However, in real world programming, you soon find yourself recompiling every app for hours just because you added another data member to a class. I normally group several related classes in a single .h file. Similarly, I implement these classes in a single .cpp file.
The question is: What are related classes? Two derived classes can usually be considered related (think of a family of exception classes), and so are classes that depend on one another, or classes that participate in a single task.
My experience shows that when you change a class, you usually have to compile all the related classes. By grouping all the related declarations in a single physical file, you gain faster compilation and you also minimize the number of #include directives you need to use. (Note that with every #include directive, a substantial amount of time is wasted on accessing the physical files, opening them and reading their contents). When you have fewer separate physical files, the total build time is reduced, even if your app doesn’t change. Several compilers also have incremental compilation and link features that you can apply in order to reduce build time.