So you want to combine all of the live-cds to make one with a menu to choose between them? I'm not sure if grub/lilo can do that. The previous posts were on just putting grub on a cd then booting from the hd. You may be able to with something else.
Copy the files from the isos and make a big iso out of those. The menu part will be difficult. Make sure the files are in the same place.
How live-cds boot:
A bootable cd just has a copy of a bootable floppy on it (and is configured in a certain way, see above). The floppy image has a small kernel and initrd (initialization ramdisk) on it. The kernel boots, and loads the initrd as it's filesystem. The initrd tells the kernel what to do next (maybe setup the cd-based Linux).
Each of the distros has it's own floppy image file that it boots from. Take note of them. Don't be confused by floppy image files that aren't being booted from, as their may be some. Then, customize your own floppy to choose from these floppy images. Use your custom image to make the bootable cd. See this:
http://www.linuxgazette.com/issue85/sipos.html