It's a known limitation of the OpenGL rendering engine. See some of the tips and clues below.
http://sketchup.google.com/support/bin/answer.py?hl=en&answer=36261
Eventually (if your model is too large for instance), you can always turn something into a component, right click > Save as... and then open that component as a single file in SU and work on it. When done, save it, go back to your original file, right click again and "Reload..."