Use Combine Selected to merge the selected embroideries into a single embroidery.
Choose Design > Combine Selected.
Press ⌘U
Load the desired embroideries onto the current screen. There is no need to delete any that are already there.
Use Multiple Select to select the desired embroideries. See Multiple Select Features.
Choose Design > Combine Selected (or press ⌘U). The embroideries are merged, with one outline box surrounding all of them.
Note: The Color Select area of the Design window will now show the color blocks for the new combined embroidery.
The Notes box contains the notes from all the embroideries that have been combined. Edit the Notes as desired.
Save the new embroidery.