[k-pfeiffer]

Unfortunately, there isn't an option at the moment to merge songs, so if you want to preserve your annotations, you would have to do exactly what you already tried - export everything to a single PDF. Just remember that if you enable the option in the annotations editor to "Enable editing of embedded PDF annotations", then you can still interact with the annotations that were written into the PDF.

Aha, yes, that -- "Enable editing of embedded PDF annotations" -- should work fine (I forgot about it). It's not that I intend to extensively change these annotations, but that should give me the option to delete something if necessary. 

But I see no need to export to a single PDF. I'll simply add all three PDFs to a single 'song', which is exactly what I was looking for. (This was a case where I imported three movements of a single work and later realized it made much more sense for me to keep them together in a single 'song'.)

Many thanks!