Even with tools such as
- File -> Automate -> Batch -> Default Actions -> Save As Photoshop PSD
- File -> Scripts -> Image Processor -> Save As PSD
, working with multiple .psd files can still get messy.

My proposal is a new filetype like a 'project container'.

What it might look like (this mockup is basically a stack of three psd icons)

Simply put, it's an archive file for Photoshop files. Open it, and every .psd file within is opened in Photoshop. Rename it as .zip and individual .psd files can be extracted like a normal archive.