iI doubt there is a combine file, unles someone has written a macro. You can copy entire sheets, though.
You should be careful about going to a large multi-sheet drawing in SolidWorks. People have reported a lot of problems when drawings get too complex. Since we don't do this ourselves, I can give you any insight on what "large" or "complex" mean, but I would definitely try it out on one of your more complex assemblies first to see how it works for you.
You can drag the sheet tab from an existing drawing into another drawing and that sheet will be inserted into the drawing. There is a pop up dialog that asks you where to put it similar to merging in Acrobat (before, after, or end)