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You probably don't specify paths to your files right. Here is a simple test showing that one can perfectly use load within another loaded file:

nash:tmp dima$ cat a.sage 
a = 2

nash:tmp dima$ cat b.sage 
load a.sage
nash:tmp dima$ sage 
---------------------------------------------
| Sage Version 5.3.beta2, Release Date: 2012-08-16                   |
| Type "notebook()" for the browser-based notebook interface.        |
| Type "help()" for help.                                            |
---------------------------------------------
sage: load b.sage
sage: a
2
sage: