I am writing a project with multiple ASM files. In the main .asm file I have included all the other .asm files. I have compiled it and it works fine. But, since I have created .data and .text sections in each .asm, I have multiple sections in the PE file as well. Is this recommended?

How to keep everything in one single .data and .text section?

to achieve this, don't declare sections for each included file, but only beofre the first include.

There are three options I can think of.

1) Rewrite your code to manually merge all the sections together in the source.
2) Output a linkable format and use the linker to merge the sections.
3) Use macros to build and extend lists for each section.

Thou not needed to split code & data in subincludes at all.
do section splitting in main file only. Nothing terrible if dota & code would be intermixed.
And even if thour file would be presented by one single section there is nothing terrible - thou could intermix everithing there.
But if thou going to place there resources too thou should name section as .rsrc and start it from resource header - after thou could intermix within it imports exports data & code or whatever.
So classification of bytes sequences on data and code is very abstract.
Thou are free to play in that abstraction or ignore it.

Actually, this one is not a good idea unless one already has to have them intemixed (sizecoding?).

Long ago I had the same question. And, as revolution already said, macro is probably the best way to keep all code and data parts in the appropriate sections.
You can take a look here.