If you are using 99SE.
Make all things and layers visible in PCB or they will not get copy
Open new PCB, PCB Nr. 6, make 1mm active grid
Copy all object from PCB Nr. 1 into place in PCB Nr. 6
When doing this use Eduit,Select,All and then Edit,Copy. Then when ready to past, use Edit,Paste,Special and tick box for to allow Duplicate Designators.
Copy all object from PCB Nr. 1 into place in PCB Nr. 6 using paste special command
Copy all object from PCB Nr. 2 into place in PCB Nr. 6 using paste special command
And so on.
Move your PCB around the PCB Nr. 6 area for best fit, once finish copy all 5 PCB, pick a mechanical layer and draw PCB 'frame' for your panel.
You cannot of course use DRC on PCB Nr. 6 as netlist is not good, you have to make sure 500% all DRC is already OK in PCB Nr. 1 - 5
Good luck
:F