The only way to merge the clips that I could find, is to select all the clips ( in Zoombrowser) and go through the edit move process, then save the movie. This takes time as ZB goes thru a rendering process. OK if you have no other option, but not so good if you want a quick preview of an event made up many clips. I cant work out how to do this in camera either. So for me Power Director is the solution, as all I need to do is drag the clips to the timeline, and hit the play button. And of course editing options are endless.
Until I find some easy solution using the Canon software, this seems to be the way to go for me.