Merging PDF files Together
You were actually doing it correct, its just that when you want to save it, you actually have to export it as a separate file. If you wish to keep the same file name, you'll have to save it as a different name 1st, then delete the original and rename the new one.

Here is the step by step guide:

Combine two PDFs


  
  Open a PDF in Preview. 
  Choose View > Thumbnails to show page thumbnails in the sidebar. 
  To indicate where to insert the other document, select a page thumbnail.  
  Choose Edit > Insert > Page from File. 
  Select the PDF that you want to add, then click Open.
  To save, choose File > Export.
  


Combine part of a PDF with another PDF


  
  Open the PDFs that you want to combine in Preview.
  In each document, choose View > Thumbnails to show page thumbnails
  in the sidebar.
  Press and hold the Command key, select the page thumbnails that you want to add to the other document, then let go of Command.
  Drag the selected thumbnails into the sidebar of the other PDF, then
  release where you want them to appear.
  If your Mac has macOS Sierra or earlier, drag the thumbnails
  directly onto a thumbnail in the other PDF.
  To save, choose File > Export.
  




You can view more information and details here:
https://support.apple.com/en-ph/HT202945