plink --noweb --make-bed --bfile [?] --merge-list list.txt --out [?]
[?]first basename[?] is the base name (i.e. WITHOUT the .bed, .bim or .fam suffix) of one of the chromosomes' file sets, while list.txt contains the filenames of the other chromosomes' file sets (i.e. all except the one given on the command line), but this time WITH the .bed, .bim or .fam suffix
second.bed second.bim.second.fam third.bed third.bim.third.fam
You can use paths in this file i.e. /path/to/second.bed etc. I don't know if the order of the files on each line matters.
Plink may be very useful, but its command line interface can be confusing.