Well, first I would recommend using Scid vs. PC instead of regular Scid. You can download it here for Windows. If you're on Linux and want help compiling it I can be of use there too. Scid vs. Mac downloads are available there for Mac users as well. The reason for this recommendation is that Scid is no longer in development (and hasn't been for a number of years). Scid vs. PC is a fork that is actively developed and maintained and has a number of improvements over Scid.
All that aside, what you want to do is create a new database in Scid (vs. PC). Click File>New, and name your database whatever you like. Then you can import your PGN files into the database. Note that after you import them it is reading from the Scid vs. PC database and not the original PGN files anymore, so you can delete the PGNs if you like. To import the PGNs from file, click Tools>Import PGN File. You can shift select all your PGN files to import them all.
Note that Scid and Scid vs. PC don't let you edit PGN files, only read them. If you want to annotate the games or add comments, you must import it into your database.
Creating your personal database is well worth it; you can export any (or all) game as PGN or HTML if you wish, and the databases are wicked fast for searching. Scid (vs. PC) has a lot of very nifty functionality built into the program for using the database.
If you need any more help you can probably either find an answer or get help on the Scid vs. PC mega thread here on chess.com.
Good luck!
Hello, I have recently downloaded Scid(the 4.5 version), and I'm very inexpert, so I don't know how-if it's possible-to "join" my games in just one archive. For example, when I download a game from here(chess.com), it automatically becomes a single pgn archive, so I have now like 60 and I would like join them only in one pgn archive.