There’s no 100% straight forward solution for what you’re looking for.
Some shows list those related movies as “specials”… this is e.g. true for the X-Files movie from 1998 (also listed as special 1 on TheTVDb.com). For those movies it’s possible to store them alongside your tv shows.
Plex will however in most cases not bring those specials up when you play the regular episodes in release sequence. Therefore you’ll still need to actively pick the movie. They will however be reflected based on their air date as “on deck”.
In some other cases it can help to add the movies related to a show and that show to a same-named collection in both libraries. This way the movies will show up as related content.
Both use cases can make it at least a bit easier to go back and forth between episodes/movies of that show.
There’s a feature suggestion to allow displaying special episodes in-line with the regular episodes based on their air date (and to pick them up during playback accordingly).
