If I didn't have a way to track which of the hundreds of next actions belong to which of the hundreds of projects, I would go crazy. I tried it that way for about two weeks at my new job and realized that it wouldn't work for me.
I find I absolutely must have some sort of next action link back to the project. I have too many projects for which I am responsible, even if much of the actual work is delegated. These fall into five general areas (A - Program Area 1, B - Program Area 2, C - Committees, D - Administrative, H - Home/Personal).
I keep a separate paper list of each project type and simply label them A1, A25, B1, H54, etc. Then when I do my weekly review, I look for a next action or a waiting for for each project by scanning the list looking for the appropriate code. This allows me to have more than one concurrent next action and I don't have to keep re-sorting the list. When my next action list gets too long, I can start a new one and only re-write those actions that have not yet been done.
My projects/next action lists on paper are not a complete representation of my next actions either. I also use folders in Outlook to track those that come in and will be dealt with via e-mail. Every e-mail gets either done as a two-minute item, put on the Outlook Calendar or put into one of three inbox folders: !Action, !Read, !Waiting. I keep these in my inbox so that I can also see them on my Blackberry, along with calendared items. Once an e-mail has been dealt with it is either deleted or moved to a reference folder stored within Outlook but outside of my inbox. I've got several project folders in Outlook that I haven't written down in my paper list, but as soon as there is an action outside of my work computer, I put it on my paper list.
In my weekly review, I review the !Action and !Waiting inbox folders and transer outstanding items to my paper list - at least that's the plan. I've not done a good weekly review for a couple of weeks.
I have to say though, for the most part GTD has helped me immeasurably as I move across the country, start a new job, and buy a new house - at the same time as dealing with a first-time pregnancy! So far, I've managed to mostly stay calm and relaxed while dealing with a wide variety of high priority tasks and not working much overtime.