Yeah you should consider making a Character Set and export those individual files as Clips, then you can bring them into a master scene using Trax.
Pretty much what fade1 and keres said.
I'd just use animation export and import. Gotta load it through the plug-in manager, but it works quite well. This is assuming you're looking to get all of your animations onto a single character in a single scene. Is that what you're looking for?
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You might also want to look into Trax in case you haven't, as that would allow you to easily organize different animations.
Pretty much what fade1 and keres said.