Hello and welcome to our forum. You are correct that there is no built-in functionality for this. I do not know of any 2007 features that would allow this either. However you can enable this.
What we do in this scenario is make the form have a master wrapping repeating section around the entire form. Normally users never are allowed to insert or remove that wrapping repeater. However, from SharePoint you can then use the Merge Forms view to check the forms to merge together. You should not need to customize the built-in merge functionality at all for this to work. They will open in InfoPath into one long view of all the forms. You can print this. The trick is to insert a "Page Break" at the very bottom of the wrapping repeater control so each separate form prints on a separate page break.
If you don't like that then you could create a Word XSL transform in Word (I don't have details on this) and allow it to do a similar thing by somehow writing code to import the multiple InfoPath files. But hopefully the first solution is sufficient for your scenario.
Cheers, Shiraz
Shiraz Cupala / Microsoft InfoPath MVPQdabra® Software / Streamline data gathering to turn process into knowledge