I did try dragging to the Project but there were gaps when playing back the exported file. That's why I wanted to drag them all in one go.
Your comment about having no gap helped me by telling me it's something I did wrong. I now know how to copy a whole clip so there is no gap and no part of the clip missing.
Do you know how to display the file name, if it's possible, in New Event? This would help finding the correct order.
Thanking you in advance.
Since my posting, I've found a way to do what I wanted.
Set 'Drag to adjust number of frames per thumbnail displayed' slider to All. This creates a single frame for the whole file.
Moving the cursor over one frame displays its contents and I can work-out which is the first, etc.
Select the whole file by pressing Option before clicking on the one frame.
Drag the file to the lower part of of the Project window (automatically puts it into the next position).
This gives me all the files in the correct order and with nothing missing or gaps.