It is a very annoying problem that hopefully Adobe will fix. From what I understand many of the other NLE's will stich them back together. For somereason Premiere does not. Please hit them with a Feature Request. I have but the more requests we have the better the chance of it being included sometime in the near future.
I personally either do it in DOS (iI you know fairly simple code you can do it), or you can just downloard MTSmerger. It was created by a HMC150 user on the DVX board. It is a free utility that is very easy to use.
The only downside to either of these ways of doing it is that you have to know which clips need to be joined. Not that, that is do difficult but it is not completely automatic.