I would also go with the PageControl.
I would check memoX.modified, memoY.modified etc in the mainform's OnCloseQuery and ask to save on a per memo basis or through a single dialog with checkboxes for each memo..
E.g. Geany asks on a per editor (memo) basis, but some other programs present all editors modified in one go. I like the last one, but that is personal.
Note: don't forget to set modified for each memo to false after loading the files...Otherwise the memo's will always have modified = true
Note2: if you go for my approach, make the checkboxes for unmodified memo's (unchecked, well that should be the case anyway) and disabled or hide them.
I would go for disabled if you have a fixed number of files and hide them if you have a variable number of files..