If you're using GTMetrix to test your site, chances are you'll see Make Fewer HTTP Requests recommendation under YSlow and it'll tell you to combine stylesheets.
You can do it either using the free Autoptimize or WP Fastest Cache. In my experience, Autoptimize works better on most sites.
The best way to start is to simply check the Optimize CSS box, as a rule it's sufficient and works like a charm. If you want to dive deeper, then use Advanced Settings and try different options.
WP Fastest Cache can also be used to combine (concatenate) CSS and works very well in most cases.