Concat demuxer
The concat demuxer was added to ffmpeg 1.1. If your version of ffmpeg is to old, get the newest static binary from here: http://www.ffmpeg.org/download.html
Instructions
Create a file mylist.txt
with all the files you want to have concatenated in the following form (Lines starting with a dash are ignored):
# this is a comment
file '/path/to/file1'
file '/path/to/file2'
file '/path/to/file3'
Note that these can be either relative or absolute paths. Then you can encode your files with:
ffmpeg -f concat -i mylist.txt -c copy output
It is possible to generate this list file with a bash for loop, or using printf. Either one of the following would generate a list file containing every *.wav in the working directory:
for f in ./*.wav; do echo "file '$f'" >> mylist.txt; done
printf "file '%s'\n" ./*.wav > mylist.txt
Source: ffmpeg wiki