Dave Bednarski sent a great script he wrote to the folks at 37signals which serves that purpose. Basically, you enter the addresses of the papers you'd like to receive, filter for PDFs, download the result to the desktop and combine the lot by appending the pages into one big file. It's just that easy.
For an added bonus, attach this script to an iCal event and have your news waiting for you each morning. All that's missing is your mug of coffee, and the muddy pawprints of the family dog on the carpet after he runs out in the rain to chase the paperboy.