Large scale project export/import

I’m working on getting an arena into UE4 from Max. In Max, I’ve got the arena split up by level to make it easier for me to work on the scene. My question is, when bringing this into Unreal is it better to just export the whole arena interior as one file or split it up by level? The chances of needed to reimport for changes are pretty high, so this won’t be a one way trip into Unreal if that helps.