Merge PDF files and preserve hyperlinks
Automator comes to the rescue. If you have time, you should really dive into it. You can do amazing stuff with it. I've a lot of custom actions and automations. Love this app. It's built into every Mac :D

Use this Automator Action: Combine PDF


Download Automator Action (starts downloading)
Install automator action
Select PDF files you want to combine in Finder
Right click on selected files
Choose from Services the action Combine PDF files
Give the new file a name