I love your concept, lots of fun, and by judging by your start in Zbrush it'll be just as fun when sculpted.
Merging meshes is a bit fiddly, one method would be to "insert mesh" one subtool over another, then load a Zsphere, then in the Tool Palette > Rigging > Select mesh choose the subtool with multiple meshes, then swipe over the mesh with the "draw" tool holding down the shift key so that you bring up the geometry and you can edit on that (to do this make the mesh small and work in symmetry or you'll leave out parts of the mesh), at this point you control-click the first point you want to connect and then the second. Repeat this all over to connect completely.
Remember that to perform an insert mesh your meshes can only have one level of subdivision, and if you want to do this kind of edit with Zspheres it must be the lowest, so first thing to do is delete all levels above, then clone the geometry that you want to insert, go on the first subtool and Tool > Geometry > Insert mesh. Then load the Zsphere and go on as described above.
When you're finished with the editing Tool > Adaptive Skin > Make adaptive skin. You'll find a mesh called "Skin..." among your tools, that's your new merged mesh.
If you're not familiar with retopology you may want to look at this:
vimeo.com/2500492?pg=embed&sec=