Use a master sequence, that contains all your other sequences. Look up nesting in the help file.
To piggyback on what Harm said: in the Project panel, select all of your sequences in the order you'd like them displayed, and then drag them to the New Sequence button. Premiere will create a new sequence matching the originals' settings, and daisy-chain the sequences one after another.
One quick question here: when doing many multi-file operations, the Windows sequencing of those multiple files gets in the way. This can mess up logical sequences and their order, like Opening a dozen images in PS, where one first gets #1, then #12, then #'s 2 - 11, or similar. Does your method keep the sequence of chosen Sequences perfectly? If so, cool. Maybe some day MS will address their issue and things will stay in the absolute order selected.
PS - things seem to always work, as one would intend, with multiple Assets, etc., but just wanted to ask.
Thankfully, Premiere is not Windows, and it all works as you would expect. Select them in any order you choose, and the assembled sequence matches your selection order. This works for both imported assets (photos, video, etc) or nested sequences. It's pretty cool. Another new feature is that if you drag a selection of assets to the New Bin icon, a new bin will be created and all assets move into it--this is one of those tiny little things that has huge workflow impact, in my opinion.
(C'mon Bill... come to the dark side already... )
Thanks, and glad to hear that. In most pure Adobe operations, I have no issues. It is when Windows Explorer gets into the mix, which can happen with things like the Open dialog screen in PS, that things get MS-wonky!
I'll definitely be on CS5 soon, but have to build a new box first.