Like Stuart, I'd want to have a centralized location to maintain links.
Our emblem book files contain hundreds or even thousands of references
to each other and to the project bibliography. The nice thing about
using entities for these references is that we have a single file with
entity definitions which we include in the internal DTD subset of all of
our XML files.
This allows us to use a (logical) entity name, rather than a (physical)
file name, to refer to the other books; which is, I think, the cleanest
way to handle these references.