Nest a SQL file into another in SQL Server

I have a simple SQL file I'm using to perform some test:

DECLARE @VAR1 AS VARCHAR(100) = '12345'
DECLARE @VAR2 AS INTEGER      = 54321

WAITFOR DELAY '00:00:02'

INSERT Orders SELECT @VAR1 AS COL1, @VAR2 AS COL2, ...
...

Before launching all that, I would like to do some cleaning:

/* Clean SpecialSubSubEntries */
DELETE SpecialSubSubEntries
  WHERE Id IN (SELECT Id FROM SubSubEntries
                 WHERE SubEntryId IN (SELECT Id FROM SubEntries
                                        WHERE EntryId IN (SELECT Id FROM Entries
                                                            WHERE Name='ENTRY01')
                                      )
               )

DELETE SubSubEntries
  WHERE SubEntryId IN (SELECT Id FROM SubEntries
                         WHERE EntryId IN (SELECT Id FROM Entries
                                             WHERE Name='ENTRY01')
                      )
...

For readability reasons, I'd like to put all the cleaning commands in a file "cleanup.sql" and launch it at the beginning of my SQL-file. How do I do something like that?

I guess it's something like:

EXECUTE ".\cleanup.sql"

... but I'm not sure about the syntax.

You can execute scripts in SQLCMD mode from within SSMS. See the answers here: How can I execute a set of .SQL files from within SSMS?

You will need to set your SSMS query to SQLCMD mode in order to do that, it is the client tool that does translates that code, not the database engine.
To enable this mode, drop down Query menu in SSMS then select SQLCMD Mode.

I provided a pure T-SQL solution without any hassle, It was tested and working like a charm:

An important note: it's not recommended to use this approach unless you are very aware of the risks behind it. The script enables then disables xp_cmdshell after the execution of the scripts, as Microsoft recommends here.

If xp_cmdshell must be used, as a security best practice it is recommended to only enable it for the duration of the actual task that requires it.

exec sp_configure 'show advanced options',1;reconfigure with override;
exec sp_configure 'xp_cmdshell',1;reconfigure with override;

declare @sqlfile nvarchar(100),@sqlcmd varchar(4000)

exec xp_cmdshell 'del c:\SQLscript.sql && echo SELECT ''This Is a script running on SQLCMD from SSMS'' DataColumn >> c:\SQLscript.sql',no_output --test script

set @sqlfile = 'c:\SQLscript.sql' --script location
set @sqlcmd = 'sqlcmd -E -i '+@sqlfile 
/* the above string runs sqlcmd on the server which sqlcmd was invoked, and with trusted connection, 
if you need to run the script on a different server/instance, you'll need replace the "-E" with "-S" and specify servername/ip address and credentials with "-U" for username and "-P" for password*/

exec xp_cmdshell @sqlcmd --executing script

exec sp_configure 'xp_cmdshell',0;reconfigure with override;
exec sp_configure 'show advanced options',0;reconfigure with override;

StackExchange Database Administrators Q#313931, answer score: 5