You need to set up a Master Document and its associated Sub Documents.
Dangerous advice indeed. If the OP does that they risk losing all their work!!! This is a well known feature of using Master Documents and has been documented for years. See, for example:
http://word.mvps.org/FAQs/General/WhyMasterDocsCorrupt.htm
http://word.mvps.org/FAQs/General/RecoverMasterDocs.htm
http://www.addbalance.com/word/masterdocuments.htm
plus the innumerable forum posts from people who have found out too late.
The safe way of combining multiple documents without copy/paste is to use Insert>Object>Text from File. If you want, you can also do the insertion using the 'Insert as link' option via this method, so that changes
in the source documents are reflected in the target document.