To merge actors you can select the actors you want to merge and the go to Window->DeveloperTools->MergeActors (you can read more here Actor Merging | Unreal Engine Documentation)
BE AWARE that light building times is not only influenced by the amount of actors in your scene but also by the complexity of them, so merging all your actors does not necesarily mean less build time. Merging actors generally have a positive impact at runtime (by reducing draw calls).