I did my thesis, about 300 pages, with Tufte-Latex. When printing I found that A5 was too small for the margin pictures so I went with a slightly bigger size (19x26cm).
I have also played with the margins making them a little bit larger. That's how I did it:
%\ifthenelse{\boolean{@tufte@afourpaper}}
% {\geometry{a4paper,left=24.8mm,top=27.4mm,headsep=2\baselineskip,textwidth=107mm,marginparsep=8.2mm,marginparwidth=49.4mm,textheight=49\baselineskip,headheight=\baselineskip}}
% {}
\ifthenelse{\boolean{@tufte@afourpaper}}
{\geometry{a4paper,left=20.0mm,top=27.4mm,headsep=2\baselineskip,textwidth=107mm,marginparsep=8.2mm,marginparwidth=59.2mm,textheight=49\baselineskip,headheight=\baselineskip}}
{}
Rodrigo.