Open all sets PS and then save them in one file with the 'Presets Manager?' (I use the German version, so I'm not sure if that's the correct English term). You find this in the menu in the brush tab.
Is there a way to merge brushes in PS ?
I have 3-4 brush sets with trees is it possible to make just 1 big set ?
In the Dock palette, Brushes,select load brushes.
You can then load all the brushes you want and remove manually (right clic on the Brush/ delete brush) the ones you don't want to be in the final package
Then, go the the Brush tab, in the dock palette, and clic save brushes.
It's that simple and you're smart to do think about it. It saves a lot of time at the end of the day if you spend some time arranging your brushes and get rid of the useless ones.