Thank you all so much for the answers, advice and links!
Quick update, FINALLY got it to work - although I had to use 7zip instead (after updating WinRar, which I thought might be an issue, it was extracting into subfolders even though I unchecked the box... weird and annoying).
Managed to eventually merge all the AoE Wonders into one ztd. Took me ages, must've checked in game about 25 times. At first nothing, then the slot in the menu showed up but with no textures, then I switched to 7zip this morning (I thought I could try other programs) and edited the file to SAVE as ztd, rather than changing the name afterwards from zip to ztd, and that seemed to work! Am going to test later on with multiple scenery packs etc. Couldn't have done anything without that WinRar guide however, so a 1000 thanks Cricket!
Been thinking about making a little tutorial for it on 7zip too for anyone having issues. Need to do more testing, but I'd like to return the favour if it doesn't exist already :)
Btw is it the same process with animals? I read online (after a desperate google search) that it might be different merging animal files.