Can SiteGrinder merge multiple layers into a single graphic when it builds?
Yes, in fact SiteGrinder 2 does this automatically. It looks for overlapping non interactive layers and will automatically merge them into a single graphic when output.
If you wish to specify your own mergin set, the "-merge" hint added to the end of a layer set's name will turn the layer set into a single graphic when it outputs.
This allows you to keep as many layers around as you want to maximize flexibility in Photoshop, while minimizing the number of graphics you produce for the final page.
If a text layer with the -text hint or with anti-aliasing off that is contained within a -merge layer set it will be output as a graphic anyway, and the pre-build report will notify you of this when you open SiteGrinder.
Conversely, the "-nomerge" hint can be placed on individual layers to stop them from being automatically merged.