Well, in game you can use morph()... And in MED you can just load up the extra frames... But what do you mean that it would take ages to do all the animations in one file, wouldn't you still have to do the same number of animations either way?
Oh, wait a minute - "Linking models" - you mean if the character is running and then running and shooting, and not having to do the animation for both sequences? In that case you might want different models for the torso and legs, and join them using ent_vertex (soon to be replaced by vec_for_vertex) - there's an example of how to use this in the office demo - the flare at the top of the old man's stick is attached using ent_vertex.
Hope that's of some use,
Keith