Although AutoCAD has included the ability to attach multiple xrefs for almost ten years now, there are still many users out there on older versions. If you are one of those users, this routine by Leonid Nemirovsky will allow you to do the same thing. Start by loading the LISP file, then type in the command MXR. Confirm the settings such as insertion point, scale, and rotation (which must be the same for all attached files), then select the files one at time until you are done.