Under the File menu, you can choose "Save All Files." but you still have to go through a dialogue box process for each file, as far as I know. Your question may bring out a better answer, but I'll share how I do it.
You could just keep clicking 'enter' after "Save All Files' and they will be at least saved in order as untitled1, etc....
My method when working with multiple files (that I've just created from splitting an original larger file) and to keep them labelled in sequence is as follows. A bit tedious, and maybe not the streamlined fix you are looking for...
Since the first file was originally your master, when you save it after splitting be sure to alter the title, so as to keep the original copy intact.
Save the first file with the 'Save File As...' option. Here you choose the folder where you want to place the files (tracks) from the project.
And a name; using my type of work as an example - Band name_date_set1_ track01.
Now click (have as open window in the project) on the second file, and choose 'Save All Files...' - the dialogue box(es) that comes up will already show the folder and contents that you just created with track1.
Wavepad assigns a temporary name to each file when you do a split (untitled 1, etc., or when saving uses the original file name with a '_1' etc. after it)
I then click on the previously added file, which will enter that title as the File Name in the 'Save As' box. I click to the end of that name, backspace and enter 2 (and so on.)
I keep all the other attributes of my title and all I have to type is to change the last digits. Of course this works for me in my process, but if you need more info in your title than it will take more typing.
Sorry for the length, and/or if none of that helps.