Hi Duchenne,
There is an easier way:
Install PDFCreator (freeware) from below link:
http://sourceforge.net/projects/pdfcreator/files/PDFCreator/PDFCreator 1.0.1/PDFCreator-1_0_1_set
up.exe
while printing each "print the heading and all sub-topics", select PDFCreator in printers list and print.
you will get a prompt where you can print to a file or "wait-collect" option is there. Choose "wait-collect" option and it puts all prints in its buffer, there you can merge all prints and finally print to a single pdf file.
-Kamal