Neat trick for Preview! Changed a bit since Leopard.
For Snow Leopard 10.6.0, Apple changed the way this feature works in Preview Version 5.0 (501) and made it more cumbersome. Here’s how it’s done in Snow Leopard:
Open a PDF.
Expose the Sidebar.
Drag the PDFs you want to include in the Sidebar area.
Note B: The PDFs all retain their name in the Sidebar (contrast with Note A).
Select all but one of the PDFs in the Sidebar.
Drag and drop the selection into the unselected PDF recipient.
Note C: You only get one chance at this or you’ll need to start over. You can only drop one set of PDFs onto the recipient.
Note D: After doing so, the recipient icon changes to include a Binding Comb on the left edge. Moving the arrow cursor over the combined PDF exposes a circle-left-turn arrow on the right edge.
[From Snow Leopard Changes Preview’s “Combine PDF” Behavior « blog.gerrior.com]
Save or Save As the PDF. Voilà – one PDF.