How could I execute a set of .SQL files (each does some data transformations) from within SQL Server Management Studio?
What other alternative are there for executing .SQL files in batch?
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