sd_snatcher, it seems though you can only load 1 DSK-image at the time. At least, the syntax doesn't tell me how to load several images at once. So I would say, yes, you need to concat them...
it seems if you use SofaRunIt from the console you can specify multiple disk files (which is not possible in sofarun). From the manual:
disk_image is a disk image(s) file
A disk_image can contain several
concatenated disk images
If preceded by '+', will
be created on the fly on first access,
as formatted empty 720KB MSX-DOS disk
Only one '+'disk_image is allowed
Several disk_image can be specified,
they will be added in order
