By creating a "book", you can add all files needed for the project. Continuous numbering is no problem, that is done by the option in the "book" file. You don't have to merge the files, one of the possibilities of the "book" feature is that it can print a complete pdf.
All files can be treated separately, the "book" will tell you which files need to be updated in the "book".
If you go to YouTube and search for InDesign Book, you will probably find several videos that will give you some info. I haven't looked at them myself, and I can't say that any of them cover everything, but they should at least give you a basic understanding. Another source for training videos is Lynda.com, which has some free videos, but charges subscription rates that you can choose from, and I think a free trial period.
An alternative to InDesign's "Book" feature to just to have one normal InDesign document per section, create the 5 PDF files, and use Acrobat to merge the 5 PDF files into a single PDF file.
This video should be of some help:
You should separate your chapters into different InDesign documents, and then bring them all together using the Book feature to manage style synchronisation, pagination, and final export.