I think this thread is at it's limit for new questions. If satisfied with results, please mark a solution as accepted and post new questions to a new thread.
That being said, you can accomplish this with a list and scan through it.
%macro iterate;
%do year = 2010 %to 2015;
/* set the months you want here, separated by spaces */
%let monlist = 3 6 12;
%do i = 1 %to %sysfunc(countw(&monlist.));
/* assuming you want to zero fill the month */
%let month = %sysfunc(putn(%scan(&monlist.,&i.),z2.));
%put filecr(DE&YEAR.&MONTH.,&YEAR.,&MONTH.);
%end;
%end;
%mend;
%iterate
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