All headers in one file

I'm wondering if it is considered a good practice to make one file, say "include.h", and include there all the necesary header files for the project. Then, in all other source files, just do a #include "include.h".

I've seen this before, but I'm not sure if it should be frowned upon.
The problem with that approach is then a single change to that header file will cause every source file to be rebuilt.

Not to mention the header will be a 10,000-line long (or much much longer) jumbled mess.
Well I'm thinking about precomiled headers only, and only considering that because every source file ends up with this:
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#include <iostream>
#include <string>
#include <vector>
#include <map>

#include <stdio.h>
#include <stdarg.h>

#include <SDL/SDL.h>
#include <SDL/SDL_image.h>
#include <SDL/SDL_ttf.h>

#include <SDL/SDL_rotozoom.h> /// SDL_gfx

#include <boost/filesystem.hpp>
#include <boost/filesystem/fstream.hpp>
#include <boost/algorithm/string.hpp>
#include <boost/algorithm/string/classification.hpp>
#include <boost/foreach.hpp>
#include <boost/lexical_cast.hpp> 


I was thinking that may be I could put all that inside a header file for convenience, but I can see why it's not such a good idea.
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