I assume English is not your first language<g>?  Not a problem in
any way; I just noticed it looks like a second language to you.
  You have not provided a lot of information, but here are some
things you can look at.  If this does not help, come back and add
more detail to what you want to happen.  That will make it easier
to help you.
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IF your chapters are all written with similar formatting, then
the problem is probably that you are pasting into a new, blank
document with different formatting applied.

1.  Back up your files in case you have a problem.  Work with the
copies instead of the originals.  This is the safest way.

2.  Instead of starting with a new blank document, open the first
chapter and use that to add the rest of the chapters to, using
the instructions you gave.

Now the formats should stop changing.
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IF you have different formatting in different chapters, then it
is a different situation.  When you Paste into a document, you
can either bring the new documents along with it, OR have it take
on the formatting of the current document.

Open your Word document

Go to the bottom of it.

Click CTRL-END to be certain you are actually at the end of your
document.  The easiest way to explain the reason for that is:
Sometimes the formatting problems you mention are because the
Section Break is being put BEFORE the actual end of the document
because you cannot see the extra white space that has built up.
CTRL-End makes certain you really are at the end of the file and
not just close to it.

Select something to paste.  Make it a small selection so it will
be fast and easier to experiment with.

Click Edit.
  Now look at the choices provided.  You have Paste and Paste
Special in the menu now.  Click Paste Special and notice the new
options available.  "Formatted Text (RTF)" is probably the choise
you want to make.  That will bring the new formatting into the
document along with the text.  The RTF simply stands for Rich
Text Format; it is the type of text you are going to Paste.
  If you want the Paste to have the same formatting as the
current document, instead of the formatting where you did the
Copy from, then use "unformatted text".

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I think one of the two cases above may help you.  If not, come
back and explain what is happening and how you are doing it.
Someone here better than I am will help I am sure.

Respectfully,

Pop