Welcome to the forum.
In the digital age, that ability has disappeared. Video cameras don't do that anymore. Analog tape did work that way. Now it is assumed your footage will somehow pass through a computer. And, indeed yours does because you are making DVDs.
Camcorder companies provide software to make it easy. In your case it is called "HDWriter" and it will quickly copy all of your clips into a single file or make the DVD directly. When I bought my Panasonic, the instructions for HDWriter were in a .pdf on the software disk that came with the camera.
If you don't like HDWriter, there are other choices. My personal favorite is called Adobe Premier Elements.