Use blender, it’s free and can easily merge stls.

Depending on which slicer you use, you can probably merge them as an assembly. I use Orca Slicer and after loading a model I can then right click on it and add an STL to it. Then it’s a matter of positioning and lining them up. Once done you can slice it as one model.

Before you mess with extra software try dragging all parts to the slice at one time. It should ask if they are parts of one object (orca does this) then select yes. They should all go into the right place, hopefully

Many cad packages will let you do a Boolean combine operation