I would recommend not using separate files at all and in lining everything in to the ovpn file like this:
<ca>
-----BEGIN CERTIFICATE-----
...
-----END CERTIFICATE-----
</ca>
<cert>
-----BEGIN CERTIFICATE-----
...
-----END CERTIFICATE-----
</cert>
<key>
-----BEGIN PRIVATE KEY-----
...
-----END PRIVATE KEY-----
</key>
<dh>
-----BEGIN DH PARAMETERS-----
...
-----END DH PARAMETERS-----
</dh>
<tls-auth>
#
# 2048 bit OpenVPN static key
#
-----BEGIN OpenVPN Static key V1-----
...
-----END OpenVPN Static key V1-----
</tls-auth>