what are some common stratagies for loading assets in unity?

I've been using unity for about 2 years now and I'm realizing I'm very unfamiliar with the way it loads assets. I have found that a having a library game object with all the assets i need in it is simple and works well but I don't know what the large scale implications of using a system like that are. I'm assuming that the method i use has them all load at the beginning when you open the application. Anyway my questions are... Is there anything wrong with this loading method at scale? what are some common ways that loading and auto saving are handled? I've just started to get serious about making games and I want to do everything right. Thanks