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compiling multiple files

I cannot find any mention in the CLM of how one might compile several
source files into a single binary file.  Most dialects of FORTRAN, C,
etc. have some sort of "include" construct to allow indirection.  In PSL,
the DSKIN function serves this purpose; if the compiler sees a DSKIN as a
top level form, it will compile the forms within that file rather than
compiling a call to DSKIN.  Typically, this is used to modularize
nonportable code into separate files for each system instead of lumping
everything together into a single file.  It's much less awkward than #+ and
#- when dealing with a half-dozen different implementations and many pages
of implementation-specific code for each case.

I realize it is not too difficult to write a macro to do this in CL, but it
seems like this feature would be useful enough to be standardized.  Do any
CL implementations already provide such a feature?  Or have I missed
something in the manual?