It does not take a macro so long as you have different style names.

The simple way is in Document A you use Heading 1.
Document B also has things formatted using Heading 1. You want to use the formatting from Document A in the merged document.

If Document A has text in Heading 1 style and you paste text from Document B into it, the Heading 1 text from Doc B will be formatted using the style definition already in use.

If Doc A has not used Heading 1 style, pasting text formatted using that style from Doc B will bring that style definition into Doc A.

For non-built-in styles you can simply make sure that all of the styles have different names. Once you have them in a single document, use Replace to replace the formatting of text formatted using Style X with Style Y.