Several IF Statements With Exit Sub Or Nested IF Statement Without Exit Sub?

Now I have a sub to validate a bunch of textboxes and combo boxes.I previously used many IF statements to validate and pop up different messageboxes and Exit Sub in every IF statement.But I heard that too many Exits will decrease the efficiency and they were not recommended to use. Instead, nested IF is better because it will let the process naturally go to the end.Then I found out that if I use nested IF,it will be hard to read, since messageboxes are all separated from conditions.