Good morning,
Is there a way in Solidworks to have all of the sketches automatically merge into a single 3d sketch when importing customer data?
Out customer data sometimes come in with hundreds of individual sketches.
Thanks
Mark
Automatically would be a Macro. Manually you could start a 3DSketch and go Convert Entities, select the sketches in the tree and SW will convert everything.
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To expand on what Lucas said: create a 3D sketch, convert entities, delete all relations, fix all entities. This allows you to remove the other sketches without causing errors. See the video below.
As far as a macro, you could check Codestack or ask gupta9665. 
What file format your customer send you?
SW can import dxf, dwg and merge entities.