Yep, tracks get broken up any time you turn the unit on/off, or when you lose signal. It's unfortunate that the GPX files saved on the MicroSD card are not already merged, although if they were it would constitute a loss of data. Sometimes it's very useful to see breaks in the track.
Anyway, to merge just use the profile(slash merge) tool. Click the first segment, hold down shift and click each successive segment. When you are all done right click on the map and choose "save as..".