Hi bonejoe,
You could do this using either vba or INCLUDETEXT fields. The latter would still require creating the source file references individually and, after 'merging' the files, you'd have to unlink them via Ctrl-Shift-F9, but it may be worth considering if you're not comforatble with vba.
Whichever method you use, be aware that paragraph styles in your source documents will adopt the corresponding style definitions in your target document, and this could screw up your expected/intended preservation of formatting.
Cheers