open a brush file...
right click- then chose DELETE Brush, you want it so that there are no more in the file(DON'T worry, this will not mess up your current brush!)
Once you have a empty box.. Then take the file you want to make a brush, Ctrl+A(select all)-EDIT-Define Brush Preset.. a box will pop up.. name the file.. repeat till you have all done.. Then..open your brush if you don't already have open(you should see all your added files there) click on the little arrow(in the top right corner) and select SAVE BRUSHES.
HTH!!