As many of other independent developers, I don't like to use tools I'm not completely controlling and I try to reduce the complexity and dependence of my project as possible as I can. That's why most of the time I remove the stdafx.h from the projects I create and disable the pre-compiled use in the project settings.
This is a good idea if your project is using less than 10 files (and not big libraries) but it can be a really huge mistake on huge projects. My project is now using around 40 classes ( I always try to reduce it but it is sometime impossible ) so I decided to implement the precompiled header.
My compilation time is 4-5x faster than before (even more now I'm using Boost Library). I'll explain how to configure it easily.