As evidenced by the (somewhat humorous) Donaudampfschiffahrtsgesellschaftskapitänsmütze there isn't really a limit. Usually, if compounds get longer hyphens are

As evidenced by the (somewhat humorous) Donaudampfschiffahrtsgesellschaftskapitänsmütze there isn't really a limit. Usually, if compounds get longer hyphens are used in select places to aid readability (they have sort of a semantic meaning as well, depending on the compound, so simply saying that you could write the above one as Donaudampfschiffahrts-Gesellschaftskapitänsmütze would be misleading (and in this case really mutilates the compound)).