This has always been a source of aggravation for me. What if I want to copy an entire assembly and all the drawings for each component. Cloning won't do it. Once you get all the files loaded, however, I created a routine that call "Save All As" that accomplishes the task (download for free off SolidNX.com). If you have a standard naming convention, you could also write such a routine to open all the drawings for you - and then rename them.
Cheers,
-MikeN
SolidNX.com