First, note the condition Graham gave: based on the same template with the same styles.

When you say "it will not work" please elaborate. Exactly what are you doing to try to get it to work? What happens?

Manual method:
Make a copy of your first document; this will be the recipient document.
At end of the first document, insert a new page section break.
Do the same for the document to be inserted. Copy everything in the document to be inserted through that section break. Paste behind the section break in the receiving document.
Continue same steps with each additional document.
When done, insert a continuous section break before the "next page" section break and then delete the next page section break.