I wanted to know if this feature available in 360 or SL3?
It's not a built-in option. You could use some third-party SCO packager to combine several published Storyline projects into one package.
Is there a specific way that I need to publish the scorm files in SL3?
How should I link the different sco files to the 'main menu' storyline file?
It's not something we can offer support for, but you could take a look at the method here to set it up.
Let us know if you need anything else!