I personally prefer to have one file for each screen and for each responsive step, especially if they are a bit complex (for the exact same reasons Dominic mentions in his comment). But having one file per screen, with the steps inside, is equally valid. I think it will really depends on the sort of mockup / website you are putting together.
In regards to methodology, Balsamiq actually has a nice article on working with responsiveness that you might find useful.
We believe wireframes can show how web content will flexibly adapt to
different grid widths and indicate rules for presentation. Some of the
capabilities in Mockups could make it easier for you to communicate
how your design would work with responsiveness in mind.
Their recommended technique is to use Symbols.
- Create a single Symbol
- Place it in each target grid layout
- Override the inner layout in each instance
- Create a single Symbol that has all of the inner layouts
- Use crop to put it in place on each target grid layout
Not sure if you are using these already, but they also have grid templates you can download.
Most of their examples seem to work on one instance only per file, showing the different states. I think the reason for this is to concentrate on layout design. If you are working on the way things will interact for every responsive step, then this organisation could be a problem because you will have to open each file and then create a new one holding the interaction for a single device.