I have RNAseq data for one sample, with two technical replicates. As I know, I need to merge them to get the gene or exon counts.
You can just merge the SAM files by "cat" function. Btw I don't understand why you have sam files. It will just fill up your hard drive. Downstream analysis in DEXSeq can accept BAM files. Also I wonder why your sam files did not have headers. Please try using IGV browser to see if your alignment looks fine before DEXSeq. Since you will be wasting lot of time if the counts generated by DEXSeq are wrong.
If they don't have headers, then just concatenating them will work fine. I wonder why they don't have headers though, that's odd. The sort should name sort them correctly. BTW, with many mappers, you can just supply a list of technical replicate files separated by a comma and the mapper will just output a single file with all of the reads (just to save you a step).