To insert sheets into an existing DWF in Composer, you have to drag/drop them into the SheetList (or Thumbnail) control, not the main canvas. If you drag and drop into the main canvas, it will open that file, not aggregate it.
You can do this by selecting sheets from a second copy of Composer or, if you only have one copy of Composer running, you can select a DWF from Windows Explorer and drag it into Composer's SheetList or Thumbnail control. It will insert all the pages of the DWF into the existing DWF (at the location within the SheetList you have selected).
Once they have been inserted, you can select sheets (once again, in the SheetList control) and drag them to reorder them as you wish.