Working with different projects in Emacs

[Damian]

Hello,

I work in several projects. Every project has a list of files
associated to it (for instance several source code files or latex
files). I would like that every time I start working in one of these
projects, all the files could be found quickly without specifying the
whole path.

The filesets almost serve this purpose, but the problem is that they
open all the files in the fileset, and I just want to be able to
auto-complete its filename (when I open a file using C-x C-f).

File cache is not an option, since I need several "caches" for each
project and I don't want to load them all when emacs starts.

And I'm unable to understand Icicles documentation (and Icicles is
more powerful than the tool I'm looking for).

Until now, I was able to find a solution for every problem (in the
good sense) in emacs, but for this one I cannot find one.

What can I do?

Thanks,
Damian.