Is this talking about emptying wallets into one wallet?
Discussion
It can be done in the same wallet. It's referring to sending multiple smaller UTXOs into a larger UTXO.
Do you know how to do it on cold card with nunchuck?
I haven't used Nunchuk, but assuming you're consolidating UTXOs that are already in addresses controlled by your Cold Card, you would simply create a new receive address and then send those UTXOs to it.
As an example, let's say you had previously received the following 5 transactions to different addresses on your Cold Card: 50k sats, 100k sats, 200k sats, 300k sats, and 350k sats. Each of those transactions exist as a separate UTXO until you spend them. To consolidate them, you simply spend them to yourself. So you would creat a new receive address on your cold card, and send a transaction to that address that uses those 5 UTXOs. The result would be a new single UTXO of 1M sats (minus the on chain miner fee).