Is there a quick way in the shell to merge multiple pdf files into one big pdf file?
It is possible with Ghostscript if installed.
You can use following command to merge multiple pdfs into output.pdf file:
gs -dBATCH -dNOPAUSE -q -sDEVICE=pdfwrite -sOutputFile=output.pdf 1.pdf 2.pdf
Indeed ghostscript have more and more capabilities on pdf files such as changing quality, compression etc. Look at man page of gs
In the acrobat reader click the tools menu select the files to add and combine all files and include the files into PDF.