From the manual:
To combine two folders into one Contact Sheet, right-click (Ctrl-click) the folder you want to add in and select the ‘Open in Current Contact Sheet’ option. Option-double-click will also open the folder in the current contact sheet window.
To remember the set of folders you are currently browsing as a Contact Sheet, use the “Remember Folders...” menuitem on the File menu. This will
allow you to set a name for the set of folders and once named will cause a “Multi-Folder” favourite to
be created in the Favourites panel.