I have always relied on the "recently used" list in the File menu to provide me with quick access to the files I need to open. The File menu keeps two lists: one for project files and one for SAS programs. With a click into either list, you can see a simple list of all of the file names. Hover your cursor over any of the names to see a tooltip with the full path -- very useful in case you have similarly named files in different folders.
By default, the number of recently used items (SAS programs and projects) that the File menu tracks is just 6. That's not nearly as many as I need, so I've always changed that setting to the maximum, which has always been 15. You can find the setting in Tools→Options, General tab.
I recently learned that in SAS Enterprise Guide v7.12 and later, the maximum number of "recent files" to track was raised to 50! With more high-resolution displays in the field, even a long list of recent files can provide a convenient method to save a few clicks. I think 50 is a little high for me (I'll be reaching into last year's files), so I bumped my setting to 30.
And don't forget the "jump list" in Windows 7 and later! Every program or project file that SAS Enterprise Guide opens is also added to this quick-access list that you can find on your Windows toolbar or Start menu. Here's an example of what that looks like: