Place them all end to end on your timeline, then add a Stop Marker at the end of each segment and a Scene Marker at the beginning of each segment.
This will return the viewer to the menu after playing each segment.
Once you have burned a Timeline content to DVD-VIDEO format on DVD-R disc, the disc is finalized and you cannot burn a second time on that same disc (no multisessions). Even if you use a DVD-RW disc, the program will erase what is on the disc before burning anything to it.
Now, if you have 3 projects and you want to combine them to be part of one DVD-VIDEO on DVD, then you need to remember that you cannot import a project (project.prel) into another project.prel. So, you have going to have to export the Timeline of each of the projects to a file. The file type selected should be consistent with the goals of the project. To be discussed in more details if necessary.Then each file is brought into a new project (set with the appropriate project preset) which is burned to DVD VIDEO on DVD disc.
Stop markers at the end of each of the first two files is done. But, never place a stop marker at the end of the last file on the Timeline. It is not needed and can cause problems in the project.
Please consider and let us know if you need clarification on anything written.