Pasting Section is pasting in with wrong font size?

Have you experimented with the Paste Options button (which may or may not help for the situation you describe)?

I didnt format the original document at all - should I have?

I just copy/paste all documents into seperate section in one long document

Pretty much everything you do in Word that involves text also involves Styles; Word is a Style-based word-processor. Every paragraph has a Paragraph Style that sets indents, justification, font attributes, tab stops & so on. There are other kinds of Styles, too, but paragraph Styles are the most common. Many users make the mistake of trying to override these Style attributes by just changing a paragraph's font name or size, or something else, but that often leads to tears, because Word doesn't regard these changes as applying to the Style.

Consequently, when you paste content from somewhere else, you're liable to find that the formatting changes to suit the Style definitions in the document you're pasting into. You can prevent that by changing Word's paste options, but it really is better to honour the Style definitions and be consistent with them across documents.