I thought of suggesting that, but the Excel files might be a problem, so
it's not so simple....

Converting the separate documents to PDF and then merging them would
probably be easier, but I'm not sure the TOC and continuous page numbering
would be possible in that situation (I don't know what Acrobat offers--have
never heard that they will apply page numbers--if Acrobat would, I bet that
would be easier.).

So you will have to combine them in Word. You'll probably need section
breaks between each Word doc--the link Suzanne gave will direct you to the
necessary information under Sections, and yes, using Insert File might then
be easiest. You'll also find a link on chapter numbering under Numbering,
and links on creating TOCs.

It kinda depends on what the Excel spreadsheet are like, and what you need
to replicate.  You can only insert an object that is one page or less, so
for multi-page excel files, you'll need to insert each page separately.  In
such a case, it might be easiest to convert the excel file to PDF (without
page numbers), and then insert each page, so that you know what you are
getting.  It will have to be embedded in the PDF anyhow, so I don't know
that it makes a difference whether it is linked or embedded in the Word
file.

Duplicate everything before you start, as this may involve quite a bit of
experimentation.