Under certain circumstances one may one to use a dynamically generated filename also for gdx files. The put_utilities can be used to achieve this:

file foo;
scalar i;
for (i=1 to 10,
 put_utilities foo 'gdxout' / 'out' i:0:0;
 execute_unload i;
);
for (i=1 to 10,
 put_utilities foo 'gdxin' / 'out' i:0:0;
 execute_load i;
 display i;
); 

The log file reads:

--- Job Untitled_1.gms Start 03/05/07 21:53:32
GAMS Rev 147  Copyright (C) 1987-2007 GAMS Development. All rights reserved
...
--- Starting compilation
--- Untitled_1.gms(11) 2 Mb
--- Starting execution
--- Untitled_1.gms(7) 3 Mb
--- GDXin=D:\work\gamsdir\projdir\out1.gdx
--- GDXin=D:\work\gamsdir\projdir\out2.gdx
--- GDXin=D:\work\gamsdir\projdir\out3.gdx
--- GDXin=D:\work\gamsdir\projdir\out4.gdx
--- GDXin=D:\work\gamsdir\projdir\out5.gdx
--- GDXin=D:\work\gamsdir\projdir\out6.gdx
--- GDXin=D:\work\gamsdir\projdir\out7.gdx
--- GDXin=D:\work\gamsdir\projdir\out8.gdx
--- GDXin=D:\work\gamsdir\projdir\out9.gdx
--- GDXin=D:\work\gamsdir\projdir\out10.gdx
--- Putfile foo D:\work\gamsdir\projdir\foo.put
*** Status: Normal completion
--- Job Untitled_1.gms Stop 03/05/07 21:53:32 elapsed 0:00:00.203

See also the entry: Dynamic renaming of put-files.