Get report on which files are loading

[Harry Putnam <reader@newsguy.com>]

Some time back I got a tip from Kai G. about how to tell which files are
being loaded:
I have this loaded from a special file ~/whats_loading.el
;; make loaded files give a message [from Kai]
 (defadvice load (before debug-log activate)
  (message "(Tip from Kai G): Now loading: %s" (ad-get-arg 0)))

It reports on some files but not on others.
For example it doesn't report when site-start.el is loaded even
though the defadvice is loaded first (from the command line)
  emacs -l ~/whats_loading.el

I have this in site-start.el to see when it loads:
 (message "finished loading => /usr/local/share/emacs/site-lisp/site-start.el") (sit-for 1)

I see in  *Messages* buffer, stuff that indicate what is loading like this:

  Loading whats_loading.el (source)...
  Loading advice...done
  Loading whats_loading.el (source)...done
  (Tip from Kai G): Now loading: ~/.emacs-custom
  Loading ~/.emacs-custom...done
  Loading skeleton...done

(NOTE the defadvice doesn't report site-start.el but the `message'
  shows so it has been read)  
  finished loading => /usr/local/share/emacs/site-lisp/site-start.el
  (Tip from Kai G): Now loading: ~/.emacs
  
  [...]

  (Tip from Kai G): Now loading: ~/.abbrev_defs
  Loading ~/.abbrev_defs...done
  (Tip from Kai G): Now loading: default
  (Tip from Kai G): Now loading: ~/.abbrev_defs
  [...]

I'd like to put something in that message line that allows emacs to
know what it has just read and from where.  Something like the `%s'
operator in the defadvice.  So that if for some reason site-start.el
is put somewhere else the accurate path and file name will still be
reported in *Messages* buffer.  Something like:
 (message "finished loading => SOMETHING TO REPORT PATH and FNAME") (sit-for 1)

I couldn't get it right as to where to put the `%s' or if it will even
fit in this line of code.