If the 3 lists were individually sorted the problem would be simple, but as they aren't it's a little more tricky.
I would write a function that takes a sorted list and an unsorted list as parameters, goes through each item of the unsorted list and adds it in the correct position in the sorted list in turn until there are no items left in the unsorted list.
Then simply create a forth "empty" list which by the very nature of being empty is "sorted" and then call your method three times with each of the unsorted lists.
Converting the lists to arrays may make things a little more efficient in terms of being able to use more advanced sort techniques, but the cost of converting to an array has to be considered and balanced against the size of the original lists.
