How can I execute a set of .SQL files from within SSMS?

While SQLCMD.exe is the best way, SSMS also has a SQLCMD mode where you can execute a SQLCMD script. To enable this mode click Query in menu bar then select SQLCMD Mode.

The ":r filename.sql" command is the SQLCMD script command to import and execute a sql script file. You know you are in SQLCMD mode because any lines that are SQLCMD script commands will appear with colored (gray I think) background.

:setvar path "c:\Path_to_scripts\"
:r $(path)\file1.sql
:r $(path)\file2.sql

Use SqlCmd.exe.

For example:

sqlcmd -S myServer\instanceName -i C:\myScript.sql

or to save output to a file:

sqlcmd -S myServer\instanceName -i C:\myScript.sql -o C:\EmpAdds.txt

You can execute T-SQL files without using SQLCMD Mode or using SQLCMD outside SSMS, like this:

exec sp_configure 'show advanced options',1;reconfigure with override;
exec sp_configure 'xp_cmdshell',1;reconfigure with override;

declare @sqlfile nvarchar(100),@sqlcmd varchar(4000)

exec xp_cmdshell 'del c:\SQLscript.sql && echo select ''This Is a script running on SQLCMD from SSMS'' >> c:\SQLscript.sql',no_output --test script

set @sqlfile = 'c:\SQLscript.sql' --script location
set @sqlcmd = 'sqlcmd -E -i '+@sqlfile 

exec xp_cmdshell @sqlcmd --executing script

exec sp_configure 'xp_cmdshell',0;reconfigure with override;
exec sp_configure 'show advanced options',0;reconfigure with override;