But what about pixel shader and vertex shader defined in effect file (.fx)? There has to be only one vertex shader and only one pixel shader in effect file.
I'm not familiar with DX10, but at least in DX9 (I would be surprised if it was different in 10), you can have as many VS and PS in one effect file as you want. You can define multiple techniques in the same effect file, each using completely different shaders.
But I think that the common approach is to write one effect file for a specific visual look (e.g. glass, brushed metal etc.), while each effect file can have multiple techniques describing multiple ways how to render this particular look (better quality for better computers, DX8 compatible technique etc.).
So yea, you maybe should make separate fx files for textured and non-textured objects, but you don't have to.
If your application is simple, it would be maybe easier for you to put it all into a single FX file. Then you don't have to create and manage multiple effects and change them during rendering, you just swap techniques.