There is not currently a (good) way to have more than one file on the brick.
I do have a workaround that might help, but it's extra work. If the sprites and sounds you were using were the same between files, you could upload your program, and then rename it. In the Enchanting folder on your hard drive is a "Browse Files" utility that lets you see and rename the files on the NXT. You will likely run into a problem that the Enchanting programs are fairly large and you won't be able to fit many on the NXT.
This is a problem not readily solved, so far as I can see, without changing how Enchanting works on the robot. I am considering doing that for future major versions