Create a master document
If you'd like to collate a whole bunch of smaller documents into one, easy to read document, you can create a Master Document. A Master Document doesn't merge files, rather it links to existing separate files, and makes it look like they're part of the one document. The advantage is, whenever you update one of the smaller files, because it's live-linked it will also update in the Master Document.
Keep in mind that you'll want to create page numbers and so on in the header and footer of the Master Document, not the individual smaller documents, or managing your page numbers could become a private hell.
Change to Outline View by clicking the fourth icon in the bottom left in Word 2003, or the fourth on the bottom right next to the zoom controls in Word 2007. The view will change, and the Outline toolbar will appear
Type in a heading in the document to represent the file you want to import
Select what you've typed, then in Word 2003, click the Insert Subdocument button and select the file you wish to link to. In Word 2007, you'll want to click the Show Document button, then the Insert button, and choose the file you want to link to
The process is the same for all subsequent documents. Save the Master Document to a unique file name
You can compress the Outline view to just the linked locations of the files by clicking the Collapse Subdocuments button
You can view the entire live-merged document by making sure the Subdocuments are expanded (by hitting the same button as above), and then selecting any of the other page views
You can edit the individual linked files by double clicking on the torn page icon next to the Subdocument, listed in the Outline view of the Master Document