Yes, you need an external program, although I've heard rumors that ConTeXt mkIV can do this.
The reason why this problem (merging of bookmarks of included pdfs) is mostly unsolved is that it is hard in PDF:
- The bookmarks are specified completely separate from the page contents.
- The target positions of the bookmarks are specified completely separate from the page contents.
- The internal names of the bookmarks are specific to a document.
In short: Bookmarks and labels seem to have been designed later in PDF, when the page content was already well defined.
So while inclusion of page contents for PDF is relatively simple (convert the page into an XObject), inclusion of bookmarks
- has to handle a separate structure in the PDFs,
- calculate the new target positions of the bookmarks (they may be rotated, scaled and displaced),
- and somehow merge the namespaces of the included PDFs and the main document.
AFAIK nobody has solved those problems for all cases; I believe ConTeXt handles only the "simple"(usual) cases. I know of no program that handles all cases (I doubt that e.g. Adobe InDesign does).