There are a number of examples having multiple .cpp files in the MicroStation CONNECT MDL SDK. Though any of them can be used as a guide, please take a look at the file below specifically with respect to defining your DLM_OBJECT_FILES (list), the respective compile commands for each .cpp module, then the final link action (%include dlmlink.mki).
e.g. Visualization\MaterialsExample\MaterialsExample.mke
HTH,
Bob