Calling one page in another makes website slow?

I am making a website where I have to keep track of logged in users. So in every php document I have written code to connect to database. If I write the database connecting code in one php document and call it in other php documents, will it make my page slow?

Instead of putting all features in one page, what if I design features in different pages and call all features in one page? Will it slow down loading speed of website?