There's a little more to it than that - rather, every file will consume a multiple of 512KB on the disk. So a 513KB file would eat 1024KB, for example, as that's the smallest multiple it'd fit in to.
You still end up wasting less space on average as you increase your file sizes, though, as larger files means fewer files, and fewer files means fewer partially-filled clusters being wasted.
Back in the day, ZipFS was considered to help deal with the slack space problem. (And the filename length problem, and the character restriction problem...) I can't remember which emulators ended up getting support coded in, but the basic idea is that you archive up a bunch of files in "store" mode (no actual compression) and mount that up as a drive. It's still not 100% efficient, but it's certainly better than dealing with the sort of slack you see with FATX. StepMania's "smzip" files are an example of this technique being put to use.
More recently it was pointed out to me that we could just cram all our ROM files or whatever into ISOs, and then mount those. This would allow us to use them with emulators that don't actually have ZipFS support. Also it'd probably allow us to mount much, much larger packages of combined files, as ISOs can be split into multiple 4GB parts, and I'm not sure if we can do that with ZipFS.
The catch to ZipFS and ISO mounting is that the volumes end up being read-only, so saves and config files still need to go separately into a FATX file system.
Many emulators can also load ROMs from SMB shares, so that's another work around to consider.
Sure we can. If you want to have a stonking great big volume with large clusters, sitting alongside a tiny little volume with small clusters, then there's nothing stopping you. In fact your C/E/X/Y/Z volumes should each already be running 16KB clusters anyway.
XBMC can also mount some of the extended volumes past number 7 (G), I think something like up to six extra past that? You should be able to limit your maximum cluster size down to 64KB by spreading things out a bit more.