If the list documents are similar then create a new document and insert each
list document into it, or you could download the add-in from my web site that
aids the process - http://www.gmayor.com/Boiler.htm
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Graham Mayor - Word MVP
If they're just lists, with each item a separate paragraph or a
separate row of a table, copy two of them into the third (if they're
tables, insert the tables into a table), and Sort.