I actually did already create a book with all the files in it, but I couldn't figure out how that was helpful. The hyperlink panel doesn't seem to have any "book" options (unless I'm looking in the wrong place?) and just linking to the different files (after creating the book) didn't have any different results than linking to the files before I created the book.
I thought maybe linking to the different files in the book would work if I could export the whole book to pdf at once (which would be super-helpful in and of itself), but that doesn't seem to be an option either.
I guess what I'm asking is for you to elaborate on what to do after creating the book.
Thanks!