Merge PDFs into a Single File -- Bookmarks arent working

Acrobar XI Pro

I have a service manual made up of several separate PDFs.  The one Table of Contents PDF has bookmarks  which when clicked loads the respective external PDF file.

Is there a way to merge everything into a single file but have the bookmarks within the TOC point to the appropriate location within the merged file?

I've tried using File > Create > Combine files into a Single PDF but the resulting merged PDF had problems -- when i tapped the bookmarks it did nothing.  When checking the properties of a bookmark it shows action: Go to a page in another document - c:\windows\temp\ai.pdf.  It should not be poitning to an external file.

any help would be appreciated.