UPDATE
So apparently this is a very BAD idea. I tried to train my model using this option and it was very slow, and I think I figured out why.
The disadvantage of using 8000 files (1 file for each sample) is that the getitem  method has to load a file every time the dataloader wants a new sample (but each file is relatively small, because it contain only one sample).
Doing what I did makes the dataloader to load a 1000 samples file just to get out 1 sample out of it, And by the next time the dataloader will want a new sample it will have to load the same file over again.