How can I know which file belongs to which order?

The uploaded file link is stored on the cart item and available on the order items.

You can download the uploaded files directly in the Shopify Admin Order page.

Additionally, the app checks the orders in the background and links the uploaded files with the order id.

In the App, you will see the order id linked on the uploaded files. 

If you are on a plan that has the Archiving feature enabled, the uploaded files will also automatically get archived when they are linked to an order.
The files will then show up in the Archive section of the app.  To learn more about the archiving feature visit the related articles below. 

Important: If you are on the free plan of the app, make sure to download the uploaded files after you received an order, as the uploaded files will only get stored for 30 days if they don't get archived.