Each include is run as though it were part of the calling page, so putting recordsets in includes would not speed things up.
Are you talking about storing the query result in an include as an array and using PHP to iterate through it using foreach instead of using while on a recordset coming directly from the database? If so, then it would be even slower as MySQL is much faster than PHP at working with the recordset.
If your database queries really are causing sluggishness, creating good indexes in the database can often help a great deal. Also, there is often a variety of ways to write a query, and some methods are more efficient than others.