You can change how many posts you wish to display on each page under your Profile.

Profile - Forum Profile - Modify Profile - Look and Layout -

Scroll down and you have 2 choices to alleviate too many pages.
'Topics to display per page' - The default is 40.
'Messages to Display per Page' - The default is 20.

Change these to what you wish. I have mine set on 50/50 as below.

Obviously the more messages/topics to a page, will increase the time taken for the page to load.
I dont notice any difference personally and on checking a full page load Using a page of 50 posts, the load time was 0.3 seconds.



Also dont forget the neat 'Go Up' 'Go Down' Trick which is on the top and bottom of each page.