With the original vgmplay you can create M3U playlist files to play multiple VGM/VGZ files after another.
Let's say you have files 01.VGZ, 02.VGZ ... 04.VGZ. If you create a PLAYLIST.M3U file containing each filename on a line (or ls *.VGZ > PLAYLIST.M3U on UNIX/LINUX/Max OS) and run vgmplay PLAYLIST.M3U the files would play one after another. On the regular vgmplay you can use 'n' to play the next track and 'b' to play the previous.
It would be nice to have this in vgmplay-msx at some point.