Quicker, with the same result, is Insert > Object > Text from File.
(It doesn't come in as an object -- just another poor renaming in
W2007.) You'll need to add a Section Break before each chapter to get
the headers/footers to change per chapter.
Open 1 of the docs>do a Save As and rename it. In the renamed doc, delete
all the content, then do another Save As and rename. Now, go to your Insert
Tab and click on 'object'. Select the 'Create from file' Tab and press the
Browse button to navigate to all of your docs. Select all docs that you want
to merge together by holding down yur Cntrl Key, then press the insert button.