Step 1. Create a blank project >> Publish it to Project Server name it master Plan>> Choose to Create a workspace (http://servername/pwa/masterplan>>
Step2. Create Sub Projects Plans >> Make sure while publishing >> you create your sub project plan workspace underneath master plan worksite (http://servername/pwa/masterplan/Subproject1)
Step 3: Open Blank master Plan >> Insert Project >> Retrieve and Select Project to Insert >> make sure Link Project Checkbox is checked, if unchecked, now you have 2 options either to insert in read only mode or read / write
mode , select depending upon your requirement, in case you want to edit / push updates from master project itself then choose read/write mode
Step 4: you may wnat to put cross project dependency >> or insert your own milestone, having dependnecy on deifferent sub projects as required
Step 5: Save and publish master plan only, say no to others while saving
let me know if this helps
You may want to refer to for snapshots of steps :
http://www.projectserverhelp.com/Lists/Posts/Post.aspx?ID=14
Hope this helps
Thanks | Sunil Kr Singh | http://epmxperts.wordpress.com