I'd copy-and-paste the text of the relevant messages into a new message.

If you forward a single email message, you can choose to forward it as an attachment, or else as "in-line", meaning its text appears within your new message. I don't know of any formal or automated way to combine multiple email messages in-line into a single new message or document.

You can forward multiple messages, but to do so they'd have to be sent as attachments, which seems to be something you don't want to do. If I have read you wrong and misunderstood your feeling about attachments, then you can attach old messages to a new one by drag-and-drop within Thunderbird, dropping them into the right-hand side of the addressing box in the new message. (BTW, you can use this method to attach any file.)

Another approach would be to copy-and-paste the text from those separate messages into a new document, perhaps in your word processor, and send that as an attachment.

Part of the problem is to consider how the text would be most useful to your recipient; sending emails on as attached or in-line emails makes sense since your correspondent is going to have the tools (an email client program) at hand to work with those messages. If you do merge them into a word processor document, you must check ahead to see if that will be useful to your correspondent.

Thanks very much. This gives me several solutions. Much appreciated.

ImportExportTools has an option to save all messages in a folder as a single text file, with or without attachments: right-click the folder, ImportExportTools/Export all messages in the folder/as single text file.