The common usage for disk images is to use .atr format. Carts are more normally shown as .bin images instead of .exe, though I have seen a good number of carts as .exe
Be careful with changing to .xex. This extension is most typically used for stand alone executable programs. If you have one of these that uses .exe, you are safe just renaming it to .xex.
I am not aware of any current way to combine multi-disk games onto a single .atr and auto-switch to the appropriate next disk. For emulation work, it is no real hassle to simply insert the requested disk into the virtual disk drive and then respond to the program prompt. On real hardware, one would just use the physical disk requested like we did back in the day.
Russ Ruark Jr.