You can benefit from TCO while building multiple lists.
let rec f evens odds = function
| [] -> (evens, odds)
| x :: xs ->
if x mod 2 = 0 then f (x :: evens) odds xs
else f evens (x :: odds) xs
OCaml optimizes this fairly well and will compil it down to a single loop with two variables. If you reverse the lists there is going to be additional loops (and corresponding allocations).
However OCaml also provides the "tail mod cons" optimization that allows to get some of the benefits of TCO without needing to reverse the list (this is implemented as a program transformation that uses mutability under the hood), and that one will only work if you are building a single list.