I have never tried exporting from WP.com so I don't know exactly how those xml files are split. You can try importing them one by one into your DreamPress instance: off the top of my head (haven't tried), wordpress import is smart enough to continue importing (it won't drop what is already loaded, that is). Make sure you have a backup of what's already there, so you can start over in case it fails.
Another approach you may try is to merge the XML files with some utility... I've never done that though... Maybe google has some suggestions.
Keep us posted please, this sounds like an interesting tutorial to write.