Does anyone know how to Merge *.csv files, each in seperate sheets?

You can do this in Perl, search for examples using Spreadsheet::WriteExcel Perl module.

You can append them to one another.
You can paste them next to each other.
You could write something to do all the line 1's, then line 2's,...

What do you mean by merge?

There is a script which everyday generates a new csv file.
By merge I mean: each different sheets which were created for each day should be all together in 1 file but different sheets.
thats why just copy-paste everyday doesnt answer.

show some examples of CSV files and format, and tell us what you need get from them.

#!/bin/bash
find /a/b  -name "*.log"  -mtime 0 -exec cat "{}" \; >> aa.log # finds all log files in a special path
grep -e XXX -e YYY aa.log | grep -v ZZZ | awk '{print $1 " " $2 ";" $3 ";" $9 ";" $11}' | cut -d ' ' -f3- <<<"$8" >> aa.csv # looks for XXX and YYY and ignores ZZZ, looks for fields: $1,.... and import then in aa.csv
sed -i '1iDate;Time;From;To' aa.csv # makes header as Date,Time,From,To echo "done."

With sheet you mean a worksheet in MS-Excel? csv (Comma-Seperated-Values or Character-Separated-Values) is a file format that does not support a construct called sheet. Excel is an application you can use to view and edit .csv files, but you can use any editor/viewer/pager to do so.
If you need multiple csv-files on different Excel-worksheets you'll have to use an Excel-file (.xls or .xlsx) to store them.
Why not perl? It has good libraries for this task and to my knowledge is the most used tool to handle Excel-files in scripts.