OK, to demonstrate, I took the example sketch "CustomCharacter" (from the LCD bit) and saved it as "CustomCharacterTest". I added a new tab, named it "custchars". I took the custom character definitions from the main sketch and moved them to this new tab. I then added the line #include "custchars.ino"
Here's a screen grab of what happens when I click "Verify":
As you can see, it can't find the custom character definitions (which were unchanged from the example sketch) as it can't find the file "custchars.ino". I've tried putting "./" before the filename and even tried putting it in angular brackets (which oddly enough didn't cause a "no such file or directory" error, although the other errors were just the same