Seems like you need to "sub-select" your list. Given that it's not in order, I'd build a hash of arrays (HoA) with the keys corresponding to your selections, then process them in whatever order you wanted.

#!/usr/bin/perl -w
use strict;

my @array = qw(001.file.a 001.file.b 002.file.a 002.file.b);
my %hash;
for my $filename (@array){
    $filename =~ /^(\d+)/;
    push @{$hash{$1}}, $filename;
}

for my $group (sort { $a <=> $b } keys %hash){
    print "Processing group '$group':\n";
    for my $file (@{$hash{$group}}){
        print "\tProcessing $file:\n";

        ### Do stuff

    }
}
[download]

Update: Wow, you guys are quick. I hit the 'Comment' link, typed out the code, previewed it, and posted it - and suddenly there were three posts ahead of me where there had been zero. I guess I'd better learn to type faster. :) It's also amusing (but unsurprising) that all of us gave essentially the same answer, so I'm going to '++' everyone 'cause they're so brilliant. :)

-- 
Human history becomes more and more a race between education and catastrophe. -- HG Wells