Merging NSF files is a copy documents between databases operation, doable within Notes itself for the patient and with tooling for volume, so both routes:

The native Notes route, no extra tools: open a source NSF and the target NSF both in the Notes client, select all documents in a source folder, Edit, Select All, then copy and paste them into the target database's corresponding folder, or use Edit, Copy then navigate to the target and paste. Notes copies the documents across, and repeating per source NSF and per folder consolidates everything into the one target. Tedious across many files and folders but entirely native, needing only the Notes client and access to all the files.

The folder structure consideration: copying documents preserves the documents but you decide the target's folder structure, either merging everything into a flat set of folders in the target or recreating each source's structure, worth planning before copying so the consolidated NSF is organized rather than a heap. For archives being merged for storage, a folder per original source in the target often keeps provenance clear.

The tooling route for volume: NSF merge tools take multiple NSF files and combine them into one, handling the document copying in bulk with options for how to organize the result, worth it when there are many files or the native copy paste proves too tedious, the same category of NSF tooling that handles conversion, applied to consolidation.

The verification and the caveat: after merging, verify document counts in the target match the sum of the sources so nothing was missed and note the same encryption caveat as all NSF work, individually encrypted documents need the right user ID to copy fully, skipping or erroring otherwise. For a clean set of unencrypted archives, the native copy paste consolidates them reliably if patiently, with the tooling route earning its place purely on volume.