Hello Sérgio and welcome to the ArtRage forums
It can be done but only by copying & pasting the desired areas from each layer one at a time.
Once you have all the bits you want in their own layers you have two options;
First option is to arrange all the new layers one above the other and then merge each of the new layers down one at a time.
Example with 3 layers, layer 1 bottom and layer 3 top, would be to merge layer 3 down into layer 2. And then merge 2 down into layer 1.
Second option drag each of the new layers into a new Group and then merge the group as a whole.
One thing to be aware of is that if you have layers using different blend modes when merging you may sometimes get unexpected results visually.