Unfortunately when I update to Mac OS 10.6.6 a couple of weeks ago, I noticed a change of behavior of Preview. In previous versions you could drag and drop a new page to a pdf document and save as something new the augmented document. Doing this with the new Preview version simply add the new page to the sidebar and when saving as, only the selected page (or initial document) was saved.
Well, today I finally found how the new Preview works. Instead of dragging and dropping the new page below or between pre-existing pages (when little horizontal blue line shows up) you have to drop the file on the pdf thumbnail and only then it will add a new page to the document and save it when using 'save as'...
You'll notice the difference in the window's title. It will change
from: "toto.pdf (1 page) (2 documents, 2 total pages)"
to: "toto.pdf (page 1 of 2)"