The best way to merge multiple Outlook data files is to use a dedicated PST merging tool that can combine several archives into a single new PST without altering the original files. This spares you the trouble of opening each archive one by one and then dragging folders and messages from one archive into a shared Outlook data file.
For this type of consolidation, Softaken Merge PST Pro is a practical option to consider. It supports multiple ANSI and Unicode PST files and you can choose whether to merge complete archives or only required folders. Contacts, calendars, tasks, notes, journals, the inbox or other selected data can be combined as required. Deleted items are optionally included or skipped and empty folders are optionally skipped.
Once the merge is complete, open the new PST and verify the important folders, emails, and other required items. The available demo version can also be used to assess the merging process before deciding on the full version.