do this for every private key and it will all end up in the same wallet.dat
there are lots of tutorial on how to import a private key, and it varies between bitcoin clients
eg
Run Import Command in Debug Window
In the console at the very bottom is a text entry box. In here enter:
importprivkey yourPrivateKeyInWalletImportFormat "TheLabelThatIWant"
then wait a while - it takes a few minutes to complete
https://en.bitcoin.it/wiki/How_to_import_private_keys_v7%2B
http://translate.google.com.hk/?hl=zh-CN&sl=en&tl=zh-CN#zh-CN/en/%E8%B0%A2%E8%B0%A2%EF%BC%8C%E8%BF%98%E6%9C%89%E6%B2%A1%E6%9C%89%E5%85%B6%E4%BB%96%E7%9A%84%E6%96%B9%E6%B3%95
There doesn't need to be another way. This way works.
It can be a bit slow, but you just have to be patient.