One thing to potentially look out for on the cut and paste option - some software is set to 'smooth' edits over x milliseconds, meaning the files are altered (crossfaded) at the join point. They do this to avoid any pops or clicks caused by jamming 2 pieces together that may cause an abrupt shift in the waveform. If the files were a clean split from the original source, they don't need this and you might want to turn it off before doing the cut and paste. In Cool Edit Pro there's also an 'open append' feature, which just adds the new file to the existing one (at the cursor point I think).
In Cool Edit Pro it's Options, Settings, Data, Smooth all edit boundaries by crossfading x seconds
Don't know about Soundforge and couldn't find any settings on Wavelab.
p.s. I still like wavemerge the best! Easy, GUI and free.