This is actually a very easy thing to do in TracerPlus Desktop. Simply open up your main project (the one you want to add the external session to), go to File>Add and you will see a File Explorer window. Navigate to the project which contains the session you wish to add, select the .tpp file of that project, and then click ok and your project will be added to the main project. From there you can edit which sessions you wish to keep or discard.
Note: This will not effect the external project. Only the main project will experience any changes.