This is not possible anymore. A couple of years ago you could just choose the option "merge lists" in the drop-down-menu iin the upper right corner of the list (See this post from 2011). But this is not possible since Facebook revamped the lists in 2011. Old lists (lists created before 3rd quaterquarter of 2011) should still have the possibility to be merged into the new list format (ReadWrite talks about this option here), but as I do not have any of those lists, I cannot verify that for you.
As the possibility to merge lists have been removed, the best way is now to keep the biggest list, and the add persons individually. It's a pain, but there's no other way. Sorry.