I am developing a theme where i would like it to have different icons and plug ins. Each wordpress plugin would ideally have it's own css file. However, this method isn't so great because i'm able to finish up getting multiple files incorporated during my header.

Can there be a strategy where i'm able to kind of cache various different css files in one one upon the very first user request after which only use that ?

Only use just one css with the variations from each wordpress plugin for the reason that single file. By doing this you'll finish up getting just one exterior css file and it'll be cached, saving bandwitdh and lowering loading occasions from the page.

Maybe take a look at such things as yui compressor http://developer.yahoo.com/yui/compressor/