A professional converter tool will be the best choice to convert multiple MSG files into PST format, and the easiest and safest way to do so without losing any data is to use a professional converter tool. I recommend using DailySoft MSG to PST Converter. This allows you to add as many MSG files as you wish or as many whole folders as you wish and convert them all into one PST file while keeping all of your email data, attachments, formatting, and folder structure intact. It was specifically designed for bulk conversions and will allow you to convert a large number of files at one time without fear of losing any data during conversion. Additionally, it is easy to use and has a free trial version, which will allow you to test the conversion process and generally verify the good results prior to purchasing the full version.