Depends partly on which material you want to print them in - for some materials multiple parts per file is allowed, for some (notably the metals) it is not (or restricted to "natural" pairs of earrings or cufflinks). You will find this information on the Materials pages. Where it is possible, it would allow you to save on the fixed "setup fee" - but do not overdo this as someone at shapeways still has the same amount of work to do, picking out your small pieces from the big block that the printer spits out and cleaning each one individually. For small parts, try to "sprue them together", that is crosslink them with a small rod like it is done in plastic model kits. (This will add cost of material so may not save much over handling fee, but your things will be just a small section of the "raw"
product of a print run the way shapeways operates - with locomotives, robots, anime characters, frames, fasteners, lampshades and who knows what else all around it - keeping track of all these cannot be an easy job, and the smaller the parts are the harder it will be).
The trivial thing to do to keep cost down is to put many things in a single order, so you do not have to pay for shipping of each single item, but you probably know that.