I read a lot of fanfiction and often these are in multiple html pages with no handy toc or index page for converting into Calibre as one document.
There is probably a better way, but I found that if first download all the files I want and then open word and just drag the web addresses into a blank page (with a single space between them) and save that document as an html page, I can pull in multiple html files by importing that one document.
Hope this tip is helpful. And if there is a better way, please post it!
Sherry