Are they different versions of the same document, or are they different
parts of what will ultimately be a single document?
If the former, you can try Word's Combine feature. Assuming you're using
Word 2007, you can try Review tab, Compare - Combine.
If the latter, you can use the {includetext} field where you want each
different part to appear. Note that if you use Insert - Field, you will need
to include the full specification for the file's locations, but syntax in
the field code will be correct--i.e., \ has to be doubled,
{ INCLUDETEXT "C:\\Users\\Herb\\Documents\\test.docx" }.
All told however, I would tend to think that copy and paste isn't nearly as
tedious since the Field dialog does not have a Browse button, and you
basically would need to get the folder information from Windows Explorer.