Do they all have headers?
What is your OS and do you have access to it?
CAT *.txt > output.txt would work on Unix to append all text files.
Or do you first need to read files and then output them back to single file without headers?
You don't need a macro to input all txt files to a single file and then you can use a proc export to export back out but it seems a bit long winded. A System function would be faster if you have that option enabled.
Here's code that shows how to read all txt files with one set of code:
https://gist.github.com/statgeek/4c27ea9a7ed6d3528835