You either have to generate a TOC for each document and
manually put them together, or create a Master Document
and generate it once.

Most of my documents are very big and therefore Master
Document feature is out of the question for me, but it
might work for you.  I generate a TOC at the end of each
document and manually copy them to another TOC document.  
I convert the generated TOC to text only when I do this.

I hope this helps,
KC