I think you still need to create a catalog that contains a .source file as your entry point file, though from there you can point to regular macro files, not source files inside of a catalog. The following is from page 10 of http://support.sas.com/documentation/cdl/en/emxndg/67980/PDF/default/emxndg.pdf:
To store your code in external files rather than in a SAS catalog, simply alter the FILENAME statements accordingly. However, you must store the entry point file (for example, example.source) in a catalog and place it in a SAS library that is accessible by Enterprise Miner. The simplest way to do this is to include your catalog in the Sashelp library by placing the catalog in the SASCFG folder. The exact location of this folder depends on your operating system and your installation configuration, but it is always found under the root SAS directory and has a path resembling ...\SAS \SASFoundation\9.2\nls\en\SASCFG. For example, on a typical Windows installation, the path is C:\Program Files\SAS\SASFoundation\9.2\nls\en \SASCFG
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