My recommendation is to do it in Adobe Acrobat.
If you need a Word file,
- Work with a copy of one of the files.
- Insert a new-page section break at the end of the file.
- In the new section, unlink all headers and footers from the previous section (there are three in each section).
- Paste the contents of one of the other files after that section break.
- Repeat 2-4 for each additional document.
You may have to restart pagination if you have page numbers and do not want them continuous.
This may handle everything except differently defined Styles or automatic numbering. If you run into that, write back and we'll see what can be done. Remember rule #1 - work with a copy!