Do I have to put all fixture records for a model in the same file, named after the model? I would like to selectively load on some records depending on the test case, since the existing of the other data changes my app's behaviour
You do have to place all the fixture records in the same file - fixtures are placed before running tests, and are designed to be in the database for every test run. If you want to add test-specific fixtures, you're better off using factories, which provide localized, context-specific ways of creating and mocking objects for your tests to use. You can choose to just have them instantiated, or saved to the database - providing you with flexibility.
The most popular factory for Rails is factory girl - you should give it a try!