Question: I was wondering different packages are usually handled. Specifically, the SMD packages.

Are there any benefits to having all components in a single package?

For example, I have all of my resistors and capacitors in 0402 package but one of the capacitors is nearly 10x in cost for this package size vs say 0805.  

Does it make sense to use the cheaper one or would such a choice in turn make assembly more expensive?

Answer: 
From a perspective of pure mechanics of an assembly house there is no difference whatsoever to using different package IF it is same SMD type. 

SMDs are assembled by pick-and-place machines which don’t really care about package size as long as it is size the machine can handle (going some super small packages may significantly reduce number of houses that can do assembly for you because the machine they have may not be capable of handling those sizes). In other words if the bulk of your components is in 0402, then you will be pretty safe going bigger packages for some of the components.

Things changes if you want to mix SMD and THT components as (again) some houses may not have machines capable of reliably placing THT ones and thus requiring manual work to place those. Or they may not even have wave soldering machine, which again would lead to manual soldering.
You'd have to check with your manufacturer to be sure. Very small packages, (0402 is pretty standard now though), "blind" packages (BGA etc), and having lots of different parts (there will be a limit on the number of reels on the pick and place machine) will raise the cost. Tiny and/or blind packages will also reduce your yield. 

BOM consolidation allows you to buy more of the same component, taking advantage of bulk cost reduction and also reducing opportunities for incorrect orders. Another factor to consider is that there is always wastage in the pick and place - let's say you lose 10 of each components per run. If you only have 10 BOM lines your overhead is 100 wasted components. If you have 100 BOM lines, your overhead becomes 1000 wasted components.

So, if you get a 10X reduction in cost by reusing a BOM line then do it. If the cost of adding a BOM line is less than reuse, then just add it.