Well usually you would just have the entire map file containing all of the rooms, not seperate objects that make up the rooms. They kind of balance eachother out in terms of lag, eg:
Using one huge map file can cause lag if it has lots of polygons
However, you won't have to program anything for moving creating or deleting objects which can save you time.
Using a bunch of seperate room models can remove some lag in the long run but would require a much longer loading screen which would be weird, having a loading screen come up as the user enters each room, and would get annoying.
The method most of the gaming companies use is just making the entire map file, with all the rooms and objects in it. Sure they might delete some things that aren't going to be seen ever but really if you take for example...Halo 2, their map files are all just single map files, not a bunch of objects positioned. If you do it this way you don't need any code to detect if the user is in the next room, just let them move there themselves.
