Q. When creating a VM in Azure with data disks, how many should I create before I merge them with a Storage Space?
A. My recommendation: Whenever possible, use more than one multiple data disk. This won't incur more cost, but it will give higher performance and additional capacity if you need it in the future.
Why? Because you only pay for the data actually written, independent of actual disk size. So if you have 500 GB of data, you could store it on a single 1 TB data sisk, but you'd only have 500 IOPS. If you stored that same 500 GB of data on four 1 TB data disks, you'd have 2000 IOPS -- and it's great to have more than you need.
The number of data disks that can be added to a VM depends on the VM series and size. These sizes are documented at https://msdn.microsoft.com/en-us/library/azure/dn197896.aspx.