This new feature is cool in many ways but one reason why is that I remember reading somewhere like the Augi wish list (http://www.augi.com/wishlist) or even on twitter that Jimmy B from http://www.jtbworld.com/ simply wished that he could easily select the layers from the Layer Proprieties manager and tell them to merge into another layer. And the next thing you know, that same feature shows up in AutoCAD 2014. So it is cool to know that Autodesk listens.
This new feature is really as simply as described above.
Open the Layer properties manager: LA <enter>
You can select a single layer or multiple layers. To select multiple layers use the normal multiple selection method either with the CTRL button or Shift button
Once the Layers are selected, right Click
Select “merge selected layer(s) to…”
Select the a layer from the pop-up box. These are layers that were not included in the selection of layers that you previously made because these are the “destination” layers. If you do not see your destination layer in this list, it is most likely because it was included in the selection of layers. So you will need to back up a little and re-select your layers. This time DON’T include the destination layer in the selection set.
Once you have selected a destination layer from the “Merge to Layer” dialog box, click OK
Then verify that the layer will be merged to the specified layer and click “Yes”
The result is that the Layers and all of their objects have been merged into the layer that you specified and the old layers have been purged from the drawing.