Though it is more convenient to keep chapters separate as you work on them, your final submission will need to be one long document. You can combine all of the files into one large document (see steps below), and then use information in the following sections to generate your table of contents, lists of figures, tables and equations, and take control your page numbers.
On the other hand, some people prefer to leave them as individual files, sometimes because combining your chapter files produces a file so massive that opening, editing, and saving it is prohibitively slow. If this is the case, you will need to manually create the table of contents, list of figures, and so on, and will need to set the pagination in each document.
If needed, you can add a section break in between the inserted files so they start on a new page, but if you’ve built a page break into the Heading 1, you should get that automatically. See below for more information about sections.