I've done this before. Here's how I did it...
Lets say you have Project A, B, and C, and D
Lets say Project D is a BLANK Project and this is the place where everything will be gathered up.
Step 1: Open A. Make sure that you can clearly see your entire project on your screen from the Project Screen ...top to bottom, and Left to Right. Now with the mouse, select ALL regions and audio clips you want to copy into your "Project D"
Step 2: Push CTRL+C on PC (or) Command+C on Mac. This will copy everything, even your faders with effects etc...
Step 3: Open Project D and push CTRL+V on PC (or) Command+V on Mac. This will paste everything. Also open your Audio pool and make sure that all your audio files are "COPIED" to your NEW project. You can right click on the files from the audio pool and select the option that will do this for you.
Step 4: SAVE Project D and close Project A. MAKE SURE THAT THE MOST BOTTOM TRACK (THE LAST TRACK) IS SELECTED BEFORE SAVING. This will ensure that your newly pasted tracks keep getting placed at the bottom of your project.
Step 5: Repeat steps 1, 2, and 3 until you have copied the rest from Project B and C.
Hope this helps and hope you can understand this all. If you have any questions, just ask.