.cpp
file instead of the
From the performance point of view:
Changing any of the headers included from stdafx.h will trigger a new precompilation, so it depends on how "frozen" the code is. External libraries are typical candidates for stdafx.h inclusion, but you can certainly include your own libraries as well - it's a tradeoff based on how often you expect to change them.
Also, with the Microsoft compiler you can put this at the top of each header file:
#pragma once
This allows the compiler to fully skip that file after the first occurrence, saving I/O operations. The traditional ifndef/define/endif pattern requires opening and parsing the file every time it's included, which of course takes some time. It can certainly accumulate and get noticeable!
(Make sure to leave the traditional guards in there, for portability.)