Probably a more immediate option is just to use mamehooker. It doesn't support lwa files, but it has it's own scripting format that is very similar, so similar that a crafty person could probably figure out a way to convert lwa files to mhs (mame hooker script) files. You can send multiple commands seperated by a comma, so with one line you tell it to run multiple scripts and when one is finished it'll go to the other until done.
It has dde and command line support (current command line support is a tad flaky but that'll be fixed very very soon).
Remember guys, mamehooker can do just about anything, it isn't just for controlling outputs in mame anymore.
About Mame HookerBut before we go to all that trouble common sense check! Umm lwa files are just text files, why don't you just merge them all into one file?