Combining multiple small DMGs into one large "virtual" DMG
If you are on Leopard (OS X 10.5 or above) you can do this by having one encrypted disk image containing all the files.

The dmg to create in DiskUtility is a sparsebundle. This creates one bundle that mounts as a disk to OSX but actually is a directory and all the files in it are of a much smaller size. In Finder select the sparsesbundle and then Show Package Contents.

I just created a sparsebundle of capacity 1TB and copyied a 400GB vieo file onto it. The structure of the bindle had many files none of which were above 9MB

The band size can be controlled see hdiutil. But I have not done or worked out how do do this.