No you cant really have too many wsx files on hand as we found out on Sept. 20th. Opennap is a great part of WinMX and can be very useful in finding files and more great folks to chat with.
There are some that are more popular then others and you will also find that some are more full of certain types of files, such as genre or video etc...
That will be up to you to do some looking and playing and find the Servers that you prefer to use.
Since they are so small of a file I try to keep as many as possible at a arms reach. You can find these doing searches on WinMX as explained in the OpenNap tutorials or have a browse in our Archive of MX goodies up top of this page..