You can link multiple files together via INCLUDETEXT fields. See Insert|Quick Parts|Field>INCLUDETEXT for details.
Ordinarily, you can create INCLUDETEXT fields via Insert|Object>Text from File>Insert As Link. When you do this, the link paths are absolute, which makes it difficult to move them as a set to a different folder; moving the destination file, though, is usually not a problem (provided it remains on the same system). To see how to convert the absolute paths in the INCLUDTETEXT fields to relative paths, check out the field code solution I've posted at:
http://windowssecrets.com/forums/sho...External-Files
Even so, if the various source files are incorporated into the destination file via INCLUDTEXT fields, I suspect you'll have the same performance issues. If, however, all you really need is a common table of Contents, you can create that in the target file using a standard TOC field coupled with RD fields pointing to each of the source files. the same applies to Indicies, etc. See Insert|Quick Parts|Field>RD for details.