Then File > Import each audio file. They will arrive each on their own timeline. Select, Copy and Paste each one into the first timeline which should start blank.
File 1: I need to capture minute 8:00 through minute 10:00
File 2: I need to capture minute 1:00 through minute 5:30
File 3: I need to capture minute 18:00 through minute 22:00
I then want to take the above captures, and create one audio file.
OK, start a new Audacity project and do File Import of each of the files. That will give you the three tracks stacked one above the other in the display.
Then do Tracks > Add New > Audio (for mono) or Stereo to match the type of your original files.
Now use the selection tool to select (click and drag) the chunk from your first track and then copy (Ctrl+C) it to the clipboard.
Click at the start of the empty track (track#4) and paste from the clipboard (Ctrl+V).
Now use the selection tool again to select the desired chunk of track#2 and Ctrl+C.
Click in track#4 just after the first clip and paste (Ctrl+V).
Repeat for the chunk out of track#3.
You should now have the three clips all in the one track (track#4). If there are gaps between them that you do not want, use the Timeshift tool to move each clip carefully along until you see the yellow vertical line that signifies a “touch”. Once you have them all lined up, select the whole of track#4 by clicking in any empty part of its track details panel at its left hand side. Do File > Export Selection to WAV, MP3 or whatever format you need.
Finally, do File > Save Project As, give it a name and navigate to the folder of your choice. You can now comeback to this project at any time in the future to re-work it if you need to.