How to compile Lua scripts into a single executable, while still gaining the fast LuaJIT compiler?

Translate all of the Lua source code files to object files and put them in a static library:

for f in *.lua; do
    luajit -b $f `basename $f .lua`.o
done
ar rcus libmyluafiles.a *.o

Then link the libmyluafiles.a library into your main program using -Wl,--whole-archive -lmyluafiles -Wl,--no-whole-archive -Wl,-E.

This line forces the linker to include all object files from the archive and to export all symbols.

For example, a file named foo.lua can now be loaded with local foo = require("foo") from within your application.

Details about the -b option can be found on Running LuaJIT.