I found a way!
You can use the terminal ln -s command to create soft links from all of the folders you want into a single folder.
For example, if these 3 directories have wallpapers located in ~/images1, ~/images2, ~/images3, and you want to use all of them as your wallpapers:
- Create a wallpaper directory somewhere:
mkdir ~/wallpapers
- Create soft links of all the images from the 3 directories to the
~/wallpapers directory: ln -s ~/images1/*.jpg ~/wallpapers/, for one.
This isn't a real copy, since you're creating soft and not hard links. It'll barely take any space on your hard-drive.
There's a small catch, though: If you add new wallpapers to the directories, you need to link them manually. However, I believe this can be automated using AppleScript or Automator.