I also recently purchased a Zoom H4, and I've decided I much prefer to record one big WAV file, so I don't have to mess with the recorder during the show. Not only that, but I learned the hard way that stopping and starting between songs can lead you to miss some really funny and interesting in between song comments from the performers.
You can always split the files later...you can't go back and re-record what you missed though.
When I get home, I split it up into tracks with Adobe Audition.