I'm currently using Quickbooks & Shopify separately - no integration. I download bank transactions into Quickbooks which gives me an overall P&L. I can do sales analysis in Shopify with DeepMine or the built in Shopify reports.
Is there any reason I should import each individual sales order into QuickBooks?
If you want to ensure that each individual sales order is transferred to your accounting software. Consider Xero, which is a cloud-based accounting software, which can be synced with Shopify.