You are not alone in this dilemma. I too had this issue with my first professional camcorder, which happened to be the Sony HXR-NX30u. Fortunately for me, that camera came with software that would transfer the videos to from my camera to my hard drive for me, all stitched together the way they should be. I would imagine that your camera came with similar software.
That worked OK for me for a while, but for a guy like me that does a lot of video, it seemed a little cumbersome. But I found a faster way. If you’re working in Windows, there is a command you can run that will stich videos that are already on on your hard drive together. First, directly transfer the video files to your hard drive. Now, from a command prompt, navigate to the folder where your video files are. If you don’t know how to that, let’s create an example: Let’s say that your videos are in a folder of your hard drive at this path: C:Videos. From your command prompt, you will type “cdvideos” and press Enter, and that will navigate you to that folder. If your videos are on a drive other than your C: drive, like an E: drive or something like that, you can change drives by typing “e:” or whatever the drive letter it is that you want to go to, and hitting Enter. Once you are in the folder from a command prompt that your video files are in, you can type “copy /b file1.mts + file2.mts + file3.mts StitchedFile.mts” and it will create a new file in that folder called StitchedFile.mts containing all of the files you specified in the command, and all stitched together in the order in which you included them in the command. Now, you can substitute the file names with the names of your files and the name of the file you want to create. This is a Windows command. I know that there is a similar command for the Mac, but I am not a Mac user. But if you happen to be a Mac user, I’m sure a Google search would help you find the command you need.
I hope this helps.