Depends upon the source.  You may be able to just copy and paste from one to
the other, but a sure way is to use a catalog (or in Word XP and 2003, it's
called directory) type mailmerge main document in which you have the field
names in the cells of a single row table in the document.  When you execute
such a merge to a new document, you will get a document containing a table
with a row of data for each record in the datasource.

Execute such a merge with one data source and then change the data source
attached to the main document to the other data source and then execute the
merge again.  You will now have two documents, each one containing a table
of data.  Copy the table from one document and paste it into the other
document, then delete the carriage return between the two tables to combine
them into one.  Now insert a row at the top of the table and enter the merge
field names into the cells of that row.  Save the document and use it as
your data source.