Yes, order of files in a project matters. If Things.fs contains type Foo and Main.fs uses it, then the project must look like

    MyProj
    |- Things.fs
    |- Main.fs

Visual Studio has a few functions to manage this order.

The benefit is faster compilation, because F# requires recursive types to be declared together, such as

    type Foo = A of Bar | B
    and Bar = {Baz: Foo}

this doesn't really come up that much.