Apparently if the resulting file will be larger than a certain size, the Save As dialog gives me the choice of whether to save it as a self-contained movie or a reference movie. The latter consists of pointers to the individual files dragged in, and is only a few KB on disk.

Also, dragging a file into the Player window inserts it at the at the current playback point. In order to append to the end of the current movie you first have to go to the end (Option-right arrow). My prefs were set to auto-play opened files, so at first I was pausing the movie shortly after the beginning and inserting another movie at that point, which of course was not what I wanted.

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