Follow Dangerfreak's advice, then program a TRANSPARENCY effect for an empty Sequence 2 that contains only your three clips.
Move the slider to zero opacity, then click the small green + sign to set the first keyframe. Move the effects graph cursor to the end and set opacity to 100%.
The graph will look like this... 
Export the sequence.
Return to your original sequence and replace the original three clips with the exported composite clip that you just created.
To program the audio fade...
Move the timeline cursor to the end of the clip.
Right-click the audio track and FADE IN FROM START TO CURSOR. If you get an error, move the cursor just slightly to the left.
It should look like this...
