In reply to kathrync:
Well I'm not in any way an expert, but:
> which ones I can consolidate, ...
Likely all of them. All pensions will (I think) have a method of transferring to another scheme.
> or how to go about it ...
Decide on where you want to transfer them to, and then fill in a transfer form. This bit should be easy enough.
If you have a current scheme that you are paying into now, and want to consolidate into that scheme, then talk to that scheme about how to do it. If you want to consolidate into a new scheme, then try something like:
http://www.hl.co.uk/pensions/sipp/transfer-to-the-vantage-sipp
> I still have no idea if it is better to try to consolidate them or not ...
This is the tricky bit. There is no general answer to that, you need to consider the question for each scheme. Each of these schemes should have a FAQ about transfering out and possible penalties or loss of benefits. Are they schemes accumulating in terms of money, in which case it's likely fine to transfer, or are they "final salary" schemes accumulating benefits in terms of final salary or something?
If they are final-salary schemes then the calculation is much harder to do, since it depends on investment returns in the future. However, final-salary schemes are not very good to pay into for a short while and then stop (since your "final salary" is fixed at when you stop contributing, which is likely to be much less than your salary would have been at retirement).
If you have the option of sticking with a final salary scheme then it's almost certainly sense to stay with it. If not, and if the amounts in all of these are small, and if there are no exit penalties, then it is likely best to transfer and consolidate.
As I said, I'm not an expert, but I have transfered a couple of pension schemes of my own.