Memory-mapped files are beneficial for scenarios where a relatively small portion (view) of a considerably larger file needs to be accessed repeatedly.
In this scenario, the operating system can help optimize the overall memory usage and paging behavior of the application by paging in and out only the most recently used portions of the mapped file.
In addition, memory-mapped files can expose interesting features such as copy-on-write or serve as the basis of shared-memory.
For your scenario, memory-mapped files can help you assemble the file if the chunks arrive out of order. However, you would still need to know the final file size in advance.
Also, you should be accessing the files only once, for writing a chunk. Thus, a performance advantage over explicitly implemented asynchronous I/O is unlikely, but it may be easier and quicker to implement your file writer correctly.
In .NET 4, Microsoft added support for memory-mapped files and there are some comprehensive articles with sample code, e.g. http://blogs.msdn.com/salvapatuel/archive/2009/06/08/working-with-memory-mapped-files-in-net-4.aspx.
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