<p>Setting up an integration server, I’m in doubt about the best approach regarding using multiple tasks to complete the build. Is the best way to set all in just one big-job or make small dependent ones?</p>

I use TeamCity with an nant build script. TeamCity makes it easy to setup the CI server part, and nant build script makes it easy to do a number of tasks as far as report generation is concerned.
Here is an article I wrote about using CI with CruiseControl.NET, it has a nant build script in the comments that can be re-used across projects:
Continuous Integration with CruiseControl