And backup your digital files to another hard disk (or two)! Once they are gone from your camera, If you have any problems with your computers hard drive, your screwed.
I'm faced with a similar problem as the OP. I can't find a way to join 2 or 3 clips together so a sequence can be edited as one. I'm on PP 5.0.3.
Apparently (and I can't confirm this) for Panasonic P2 files, Premiere works out which clips are supposed to be contiguous (using the metadata) and joins or merges them in some way.
This does not appear to be the case for Canon XF300/305 MXF clips.
Has anyone come across a workflow for joining or merging MXF clips for use in PP 5/5.5?
Canon XF spanning and metadata support was added in CS5.5, so yes--it's not automatic in CS5.
You could import the clips, drop them in a sequence end to end, in order, and use that as a clip; it's called "nesting."
Did you check in the Canon-supplied software if it can merge the clips into one file?