All you do is set the first wall to place at start "no" then mark its location. From there you take a second wall and put it in the marked location, when the first wall spawns they should be merged. From there you set the first wall to place at start yes and save map. Hope that this helps .
It depends what you are trying to merge with the wall. If it is just a box, it is easy, but walls, fence walls, signs, can be very difficult.