How to effectively work with multiple files in Vim?

Why not use tabs (introduced in Vim 7)? You can switch between tabs with

:tabn

and

:tabp

, With

:tabe <filepath>

you can add a new tab; and with a regular

:q

or

:wq

you close a tab. If you map

:tabn

and

:tabp

to your F7/F8 keys you can easily switch between files.

If there are not that many files or you don't have Vim 7 you can also split your screen in multiple files:

:sp <filepath>

. Then you can switch between splitscreens with Ctrl+W and then an arrow key in the direction you want to move (or instead of arrow keys, w for next and W for previous splitscreen)