Create chapters in PDF using Preview

I have written a series consisting of eight episodes, which are contained in eight separate PDFs - one for each episode. I have combined these PDFs into a single PDF using Preview. The problem is that when I combine the PDFs, I can drag each new PDF below the line in the Sidebar in Preview to keep each episode self contained, and have each episode listed as a different "chapter" within the single PDF. However, when I export the file, it only exports the currently selected PDF, not all of the "chapters" as one PDF. Selecting all of the pages and exporting also does not work.

If I drag the PDFs above the line in the Sidebar, this allows me to export all eight PDFs as a single PDF, but I lose the "chapters" and it is just presented as one endlessly scrolling PDF which isn't easy to navigate between each episode.

I want to create a single PDF containing all eight episodes, which when opened displays each episode in the Sidebar so the reader can quickly jump to and expand/collapse each episode without having to scroll through the whole document.

Does anyone know how to do this (or if it's even possible) using Preview? I also have Adobe Acrobat X installed if anyone knows how to do it in that program.

Thanks! 🙂