Unfortunately, I don't know of any other way of painting across seperate objects except joining all the objects/UV's into one.

I usually overcome this by creating vertex groups for each of the objects before combining to make selection easier both for the UV Map and when it comes to seperating everything again.

Your solution though seems to be a better one as the seperate file would allow everything not to be painted to be deleted which may make things a lot easier. Will have to give it a go.