Why do you need four files in the first place? There can be advantages to that, but overall, it's simpler to either have just one single file or "split" system of two files--one with your layouts, scripts and other user interface elements and one with all of your data tables.
If you open Manage | Database | Relationships in any one of your four files, you can click the button at bottom far left to create a new table occurrence box. In the dialog that pops up, there's a drop down where you can select "add FileMaker Datasource". Using that option, you can first select one of your other FileMaker files and then select one of the data source tables within that file as the data source table for your newly added table occurrence. Once you have done that, you can link that table occurrence to other table occurrences in your relationship graph, base layouts or portals on it as well as using it as the target table for record imports just as though this table was now part of your file.
Once you have added a file as a external data source, you can use that same button to add table occurrences to other tables in the same file, but now you'll find that you do not need to select "add Filemaker datasource" again as you'll be able to select the file and then select a different table without having to create yet another external data source. You'll also find each such file will have an entry located in Manage | External Data Sources where you can manage these links to other files.
It's also possible to physically merge all tables and interface elements from multiple files into a single file though the process of pulling in the interface elements in a way that avoids a lot of "broken connections" is tedious and exacting. Plus, some parts of the design, such as relationships in Manage | Database have to be recreated manually "from scratch".