It works great, but I don't fully understand why. It even works better than specified in my post, because I want the compiled SDK files in a subdirectory. This is my working test dummy:

default: all

all: exe

clean:
        rm -f foo.obj bar.obj sdk-objects/baz.obj main.obj exe

%.obj: $(filter %.src,$<)
        @mkdir -p "$(dir $@)" 
        @echo "Compile  $< to $@"
        cat $< > $@

exe: main.obj foo.obj bar.obj sdk-objects/baz.obj
        @echo link $^ to $@
        cat $^ > $@

main.obj: main.src

foo.obj: subdir/foo.src

bar.obj: subdir/bar.src

sdk-objects/baz.obj: /tmp/baz.src
[download]

It just does what I mean! But how does it work? The filter function should just return $< - but at that point, the filter function has processed the source pattern %.src, so the rule is no longer a simple pattern rule. And then, something magic happens ... ;-)

Alexander