It is not a true Merge but the process in the Screencast will accomplish what you want. I did it in the same file sketch but you can also do it between sketches in separate files. This is the closest you probably will come to a Merge.
John Hackney, Retired
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if your goal is to produce a sketch that is a composite of more than one sketch, you can Project the contents of each sketch into an existing or a new sketch. Project will keep it associative with the original sketches. This only really works, though, for sketches on planes that are at least coplanar with each other.