Click the layer icon in the layer or double click to open the options and you can name your layer and assign a color. It looks like 3 planes layered on top of each other. You can then select an object, right click on the layer you want it placed in and choose add selected object.

There's no need to merge layers in Maya, it's more for organizing your scene. Read the documentaion to see the options the layer editior offers. It's a very handy option to use.