First, make sure the Respondent IDs in your .cho files are unique if you want to merge them. CBC/HB won't like duplicate respondent numbers, and you need to establish unique IDs to be able to identify them with a group membership variable.
Second, you do not need to put the group membership within the .cho files. Within CBC/HB software, you can point the software to a separate .csv file that has the respondent ID and group membership defined.
Within CBC/HB software, you find the option of specifying covariates under the Advanced tab, "Use Covariates" radio button.
To read more about how covariates in CBC/HB works, read the following paper: http://www.sawtoothsoftware.com/downloadPDF.php?file=HBCovariates.pdf