Just in terms of the thread title (which in this case might be misleading ) load up as many leagues as your PC can handle according to how fast you want your game to be. Someday, if you are successful, you will want the other leagues to find players or to expand your management options.
In my current game, I have all UK and Irish divisions, plus the top divisions from the following: Germany, Italy, Spain, Portugal, Holland, France, and Belgium. The game runs smoothly for me with slight bogginess during the transfer windows (that is what books are for

), and I have a lot of potential options for scouting and managing.