I would like to add some full-feature examples on my package documentation, but rather than copy/pasting in the example block I would like to keep each example on its own file.
Another option is to use Literate.jl to convert the script into a .md file for Documenter. You can look at how examples/example.jl is included in the Literate docs (basically, you just need to add a Literate.markdown call to docs/make.jl.
Finally, you can always do your own pre-processing or generation of the .md files in docs/make.jl.