Actually you should include sitemap in sitemap if you have lots of URLs.
You can provide multiple Sitemap files, but each Sitemap file that you
provide must have no more than 50,000 URLs and must be no larger than
10MB (10,485,760 bytes). If you would like, you may compress your
Sitemap files using gzip to reduce your bandwidth requirement; however
the sitemap file once uncompressed must be no larger than 10MB. If you
want to list more than 50,000 URLs, you must create multiple Sitemap
files.
<?xml version="1.0" encoding="UTF-8"?>
<sitemapindex xmlns="http://www.sitemaps.org/schemas/sitemap/0.9">
<sitemap>
<loc>http://www.example.com/sitemap1.xml.gz</loc>
<lastmod>2004-10-01T18:23:17+00:00</lastmod>
</sitemap>
<sitemap>
<loc>http://www.example.com/sitemap2.xml.gz</loc>
<lastmod>2005-01-01</lastmod>
</sitemap>
</sitemapindex>
See: http://www.sitemaps.org/protocol.html#index