There is specific software out there that you can use to do this or you can put your own work into many photo editors out there. You can do a Google search to find collage photo software if you are interested. If you are looking to save money then you can combine pictures together for free in free art or photo editing software such as GIMP. In general it is going to be better to just save the money and edit the photos yourself.
The main downside to printing your own collage in a single photo rather than buying a collage picture frame is that the matting will not look right if you print your own collage. Collage picture frames have matting specifically designed to hold multiple pictures. In addition, collage picture frames are usually about the same price as a normal picture frame so printing a collage is not necessarily going to save you money.
That being said, if you are not planning on framing your collage, then making your own photo collage is a fantastic idea. This works especially well for cork boards or any other situation where hanging a photo without a frame can enhance the look of a room.
Try to remember that you do not want to go overboard with your collage. Try to keep the pictures all related somehow so it does not look like a mess of random pictures. In addition, try to keep the pictures in your collage organized well. When using pictures of different sizes try to make sure they fit together almost like a puzzle. Randomness on a collage is only going to cause confusion when people look at your pictures. Also, adding a theme to your collage can be a great idea as well.
If you decide that you want to frame your collage then it would be a much better idea to just split the pictures up and use a collage picture frame. However, if you choose not to go with the frame then your picture collage on a single piece of photograph paper should work out just fine. Keeping this advice in mind, you can make a collage that is both unique and stunning.