Some compilers, such as Borland C++ and Microsoft C++, support precompiled headers. This can save a great deal of compiling time. The recommended approach is to precompile "wx.h", using this precompiled header for compiling both wxWidgets itself and any wxWidgets applications. For Windows compilers, two dummy source files are provided (one for normal applications and one for creating DLLs) to allow initial creation of the precompiled header.
However, there are several downsides to using precompiled headers. One is that to take advantage of the facility, you often need to include more header files than would normally be the case. This means that changing a header file will cause more recompilations (in the case of wxWidgets, everything needs to be recompiled since everything includes "wx.h"!)
A related problem is that for compilers that don't have precompiled headers, including a lot of header files slows down compilation considerably. For this reason, you will find (in the common X and Windows parts of the library) conditional compilation that under Unix, includes a minimal set of headers; and when using Visual C++, includes wx.h. This should help provide the optimal compilation for each compiler, although it is biased towards the precompiled headers facility available in Microsoft C++.