I’m really struggling with the solving of this dilemma.
Is Documents->Merge not working for you? Have you selected the adjacent documents in the binder first?
Documents > Merge will combine different text documents in your project into one; just select them in the binder and then select that command from the menu. You cannot undo after this action, so make sure you really want to merge the documents selected–if you change your mind, you can use one of the Documents > Split options to break the document up again into multiple files.
If you just want to view multiple documents all together in the editor, select them and then click the leftmost icon of the three grouped together in the center of the main toolbar (documents, corkboard, and outline) to load them as a Scrivenings session. You’ll see all the text of the documents in the editor with a dotted line dividing each document.
And finally, the compile process will pull all your separate documents in your draft together into a single file, formatted as you choose in the compile settings. So if you’re just looking for a way to get a single file of your manuscript out of Scrivener, this is what you want.