I assume I am to put a check mark in all four rough tool paths and save it to one file and the same for the finish. Is this correct?
Yes, that is correct plus you need to be sure the option box circled in the snip below is checked.
You are limited as to what you can do with the imported toolpaths but however VCP allows you to move and layout the bitmap images, the rough and finish toolpaths will automatically move with the image and remain correct.
You can simulate multiple toolpaths to see exactly how they will be cut at your machine. Just check (make visible) the toolpaths you intend to save together and use the "Preview Visible Toolpaths" button in the Toolpath Preview tab. Be sure to check the box to Animate Preview if you want to see the full toolpath sequence and not just the end result.
In your case, check the four roughing toolpaths and preview them as explained above. The sequence and results will show in the preview window. Now uncheck the roughing toolpaths and check the four finish toolpaths and preview them.