The exact steps depend on which version of Word you're using.
Word 2003 (and earlier): Insert - File. If you want to work with links to
the original files rather than the actual files, then choose Insert as Link
instead of Insert.
Word 2007: in the Insert tab, click on the arrow to the right of Object, and
choose Text from File. Again, in the Insert File dialog, use Insert as Link
instead of Insert if you want to deal with links to the original files.
Also, in Word 2007, if you right-click on Text from File and choose Add to
Quick Access Toolbar, then this command will be more accessible for each of
the 12 chapter files.