Is there a concept of an "include file" in SQL Server?
If you are using SQLCMD, you can use :r FileName to include a separate .sql file.


  :r FileName
  
  Parses additional T-SQL statements and SQLCMD commands from the file
  specified by FileName into the statement cache. FileName is read
  relative to the startup directory for Visual Studio. The file is read
  and executed after a batch terminator is encountered. You can issue
  multiple :r commands. The file can include any SQLCMD command,
  including the batch terminator that is defined in Tools, Options. You
  can use :r in a pre-deployment or post-deployment script to include
  other scripts.