What type of files are you trying to compress ? ... Most large files are media files, such as audio, pictures, or video. Those are already compressed, so using ZIP won't make them much smaller. Files that can be compressed, such as text files, use such a small portion of modern, large, drives, that there is usually no point in bothering with compression.
Also, what size are your files?
Bear in mind that Disk drives are much larger than they were 10 years ago so zipping files could be seen as being a little out of date.
It's possible to create several .dmg files using Disc Utility ... you can break up one large file into smaller chunks and maybe that will suit your needs.
If you launch Disc Utility (Applications ~> Utilities Folder) and in the File menu choose "New" and in the Sub Menu you will see the choices ... "Blank Disc Image" or "Disc Image From Folder".
You will notice in the "Save" window there is an option to choose a range of sizes from a pull-down menu. There is also a "Custom" size so you can break down one large file over several .dmg's.
It is quite late here and I am tired so I can't test this out tonight ... I suggest you have a think about it and maybe see if you can get it to work for you ... I will have a look at it when I'm free tomorrow.