I have split my .vimrc into several files and placed them into ~/vimfiles/vimrc.d/.
Currently I source each file in that directory using exact name:
As mb14 has already said, if you put them in ~/.vim/plugin they will be sourced automatically. For information, however, if you want to source all of the files in your vimrc.d directory, you could do this (requires a relatively recent Vim):
for f in split(glob('~/vimfiles/vimrc.d/*.vim'), '\n')
exe 'source' f
endfor
You may also be interested in the autoload mechanism, described in :help 41.15: if you're defining a lot of functions, this can make start-up a bit quicker as the functions are only loaded the first time they're used.
You can just put your files in the plugins directory (~/.vim/plugin). They will be automatically loaded.
The example from DrAl did not work for me, this is how I achieved it:
for fpath in split(globpath('~/.vimrc.d/', '*.vim'), '\n')
exe 'source' fpath
endfor
mb14 gave you the best answer. You want something automatically executed? Then use the standard organization: here the plugin/ subdirectory.
Otherwise, :runtime would have been your friend:
:runtime! vimrc.d/*.vim
:source barks when its parameter doesn't exist while :runtime silently source nothing. :source can source only one file while :runtime! can source any number of files.:source takes an absolute pathname, or a pathname relative to the current directory while :runtime takes a pathname relative to the 'runtimepath' option, which shouldn't be a problem as long as you respect vim conventions.