I know how to do this with XWE, and must of used SRB2 Doom Builder for that once.
In XWE, click on the Join (add lumps only) option. The merge won't work, as it will add a WAD lump. With Join, all the files inside the WAD will be added.
In Doom Builder, it's simply Save Map Into. I think only the map will be saved, so if you have other lumps, like sprites or MAINCFG's, that won't be added.