The following mfsort command takes each of the four files, sorts them on the membership number (which is the primary key) and outputs the result to the indexed file national.dat. All records for which the score field is less than 20 are omitted:
mfsort sort fields(1,6,nu,a) use north.dat use south.dat use east.dat use west.dat give national.dat omit cond (37,3,nu,lt,20)