When ordering grains online at the homebrew shop, you usually have the option of whether you want them bagged altogether or separately.  It’s always better separately for a number of reasons:

1. If you’re grinding your own grains, you’ll find some grains need a different roller setting to get a good crush.  If they’re all in the same bag you’ll risk getting some over-crushed, or some under-crushed.
2. When they’re separated you can easily do a spot check to ensure you’ve got all of your grain bill, and if you so chose re-weigh it when you get home.  I’ve gone over my order in the car before only to find a missing bag of something or a bonus bag of something else.  If it was all in one giant bag, I’d never now that I had a shorted or mixed up grain bill.
3. Some grains (caramel malts for example) already have their starches converted, so there’s no need to mash them to extract their potential.  Instead you can just add them at vorlauf time and get their effect without risk of extracting extra harshness.  This method works exceptionally well with black malts.
4. To get a good understanding of your recipe and relation to the finished product, it can be useful to get a crunch on a kernel of grain or two, knowing what it is.  Knowing what a particular malt tastes like may help you distinguish that flavor in the finished beer.  It might be something you love and want to keep around, or it might be something you don’t like and want to exclude from future batches.

So although you might feel high maintenance to get it all bagged separately, there are good reasons to do so.  And if your homebrew shop gives you the option of selecting that while ordering online, it’s as simple as one click.