Are you sure? When I do that it just saves the last page under the new filename. I am using MacOS 10.6.5.
Here is the trick. Open the first PDF [multiple pages or not] (or image, that works too) then drag the second PDF (or image) on to it. It will open at the END of the first pdf. It has NOT appended it, it just has both open. Grab the second one in the bar on the right and drag it up to the first one. You'll see the first one highlight gray and you'll get the blue underbar typically under the first page. Move the cursor up and down to get the underbar to where you want the second PDF inserted (if it is a multiple page pdf). Then release.
Now when you do save as it will save ALL of the pages. Perviously it was only saving the last PDF (or image) you opened.
The problem is, in preview, it is hard to distinguish between pages of one pdf and pages of another pdf when you have multiple pdfs open. It looks like they are one large PDF but it isn't unless you drag them together.