Do you have a list of all of their games, or just their last week + their archives in seperate files?
Anyway, if I import 1 of their PGN files, F9 shows it like it is its own database. I then use F9 and highlight all of the games that are in the source database (the file I just uploaded). WIth all of the games highlighted, I then go to edit tab and hit copy. I then change to the target database that I want to copy the games to, by selecting it in the drop down menu. Once I am at my target database, I go back into edit and hit paste. This will cause all of the games from the source to be merged into my target database. I then delete the files that I downloaded from TWIC so I don't have a ton of databases listed.