Efficiency-wise you're correct; showing them all on one page would be preferable; it allows a single click to go to each video and no fumbling around to find which video was which should I leave the page and come back later. They can be scrolled through to see all items with minimal effort.
Performance is a valid concern, but if you test I don't think it will be as bad as you might suspect. The simple solution to the performance problem is to load the videos on demand, only loading them when clicked. The good thing is Youtube (and potentially other video services) have done this for you; droping a youtube embeded video doesn't load the actual video until you click on it, so the user doesn't download all 8 videos on page load. There will be a minor performance hit on the one pageload, but it's negligible compared to the time navigating multiple pages would take (not to mention you still have to load the pages, and all the annoyance of clicking).
Don't forget that slow interactions are just as bad as slow performance. If you're forcing the user to be slow instead of the system, that's at least as bad, if not worse. Anecdotally, I'm much more annoyed at sites that are slow to use (long useless animations, intros, delayed response) compared to sites that are simply slow to load.
Finally, remember to test the actual page load time...I suspect it won't be quite as bad as you think. And don't just load all the videos at once either, play the first, then the second, etc, just like a normal user would. I really doubt you'll see a performance hit so bad it's worth making the interaction painful.