The easiest way for you to do this is to save as pdf and combine the pdf files into one pdf file.

To do it in Word requires a thorough understanding of styles, sections, and numbering. To say it is complex is an understatement.

• Understanding Styles in Microsoft Word
• Sections / Headers and Footers in Microsoft Word (Ribbon Versions)
• How to create numbered headings or outline numbering in Ribbon Versions of Word by Shauna Kelly

That understanding is best obtained before you even start. If your component documents were all based on the same template and used the same styles for formatting the task would be fairly simple. Your experience tells me that either your formatting is not based on styles or that the styles are different in the different component documents.

• Basic Concepts of Microsoft Word - from Shauna Kelly