If you watch the directory, sass will be able to notice changes in @imported files, and update dependent files.
style.scss:
@import "header";
@import "footer";
And do:
sass --watch .
It will compile all files in the directory to .css; ignoring files whose name start with a _.
I you modify _header.scss or _footer.scss, if will update style.scss too.
You can also output in an other directory:
sass --watch .:output_dir/