When you export a gedcom file, it should include all of the individuals, with all of their relationships and data. Then if you create a new PAF file with a different name, and import all of the gedcom files, they should all be together as separate family trees in that one file.
Joining them into one family tree and merging duplicate records becomes a major job. Merging has the potential to completely mess-up your data by combining different people. You may want to plan it out on paper before doing any merging. Merging is something that I avoid as much as possible, but sometimes we need to do it.
Some commercial software such as FamilyInsight have a "compare and sync" function that may help avoid mistakes. i.e. Instead of using gedcom files, you compare two .PAF files and copy individuals from one file into the other. This usually avoids the need to merge.