XML :
All files *.xml in Assets\XML can be edited and modified. Check the mods you want to merge. If they have some specific xml named files (MyModUnits.xml for exemple), put all the files in the right folder. If not, edit the files and copy/paste the contents you want to merge.
With first method, be carefull not to have several times the same Unit/building/etc defined in several xml files.
Python :
You'll have to use the Assets\Python\CvCustomEventManager.py to call several python EventManagers. You can have several sub-folders in the Assets\Python\ folder : very usefull to remember what is what.
SDK :
You'll have to look every files and merge those that are used in several of the mods you want to merge.