Create a file in your SRB2 folder called autoexec.cfg.
Write this in it:
bind 1 "lolwtf"
alias lolwtf "addfile wadfile.wad ; addfile wadfile.wad ; addfile wadfile.wad"
Yes, all of the quotes and stuff are required.
Replace the red text with the wadfilename.
Save autoexec.cfg.
Start the game and press the "1" key. Each time you press it, everything should automatically load.