Hi,
You are not doing anything wrong. Closing a gap between audio segments can be rather sensitive, causing one of the segments to jump to the audio well below. That can happen if you overlap the two segments even a tiny bit. Expanding out your timeline can sometimes avoid that as the expanded timeline allows for more precision. Also, you can prevent overlapping by going to the View menu item and clicking on Snapping. Next expand your timeline out to full by using the slider located above and to the left of the time line. Then edge one of the audio clips very carefully toward the other, until they snap together. That should solve the problem. However, even if one of the clips should jump to the audio well below, the two tracks still will play smoothly in sequence.
Once you have the audio segments aligned the way you want them, export the project as an audio-only file to your desktop. "Audio-only" is an option in the "format" item in the pop-up box that appears when you export to "file".

Your exported desktop file will now contain your audio track with all the segments merged into one segment. Import the audio file into your project as your sound track.
-- Rich