Is it better to have a one file program (ex. MyProgram.class) or a multiple file one (ex. Main.class and Gui.class and Draw.class)?
Well i think that it may be a matter of opinion. Some people find working with one big class easier than working with numerous smaller classes. As regards to your particular classes I think that you should keep them all in different classes.
I had a similar program to yours but I had two classes: One that created the GUI window, the other that drew the shapes to be used on the GUI window.