If ProjectOne is going to hold all four, create the folders you need in that project. Then import from each project. You can select all the files in a folder but that is as good as it gets. You cannot import a folder and all sub-folders.
Style sheets and images and the CSS files will all be imported as well.
TOC and index need to be recreated. It is possible to amalgamate those using a text editor if you are comfortable with that sort of "editing".
See www.grainge.org for RoboHelp and Authoring tips