Nope, open up your first level in WED, open the main script of that level in SED or a code editor of your choice.
Now this file should have all includings you'll need in all levels.
Like, all scripts should be include there.
Also you need a list of your levels in one of thoses script files.
string level_00 = <level_00.wmb>;
string level_01 = <level_01.wmb>;
...

And so on.
Now when you publish the first level, all resources of your levels should be included in your *.cd folder