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How do I make a PDF style codex/army book? Is there a certian program?

You can use any number of publishing programs.

You can output to pdf with the installation of a pdf printer (it installs like a printer, to make a pdf, you select it from the list of 'printers' installed and it prints-to-file as pdf).

Or you can buy a copy of Acrobat and use it.

I use Word for rough formatting, import it into acro and finalise it, before outputting to pdf (only because I haven't mastered acro yet and have used word for over 12 years).

Do you mean Planetary Defense Force, or the file extension .pdf? For .pdfs you could make each page in Photoshop and save it as .pdfs, but I do not know how to combine .pdfs into one "book" .pdf

Someone out there must know.

edit: I forgot about Acrobat. chromedog has it right for sure.

I add and remove pages from GWs (and FWs) pdfs all the time with acro.

It's mainly because of laziness in the case of their producers. If they fail to lock off any function save print/copy then it's easy as to gut it like a fish and remove the choice bits.

You can just save word documents as PDFs, which makes it quite easy to use as well.