xref between different .fm files in the same .book? That's definitely possible! Assuming you're using paragraph styles to build your xrefs, try this:
1. Open the two .fm files; that is, the one where you want to add the xref [source] and the one the xref will point to [target]
2. In the [source] file, Special > Cross-reference
3. Under Source type, select Paragraphs; under Document, select the [target] document
4. Under Source type, select the tag for the type of paragraph you want to work with; under Paragraph, select the single paragraph of that type you want to reference
5. Click [Insert] and admire your new xref
See the User Guide for an explanation of the Format options
Good luck!