Can I use python to loop through multiple excel files and add individual sheets to a master workbook?

I think using openpyxl would be the easiest solution. It'll let you read and write excel sheets, and even gives you the option of creating various sheets. Personally it's my favorite route whenever I'm working with excel.

You can use pandas, as it can import and export specific sheets from excel-files:

import pandas as pd

sheet1 = pd.read_excel(filepath=r'C:\xlsfile.xlsx', sheet_name='Sheet 1')
sheet2 = pd.read_excel(filepath=r'C:\xlsfile.xlsx', sheet_name='Sheet 2')
sheet3 = pd.read_excel(filepath=r'C:\anotherfile.xlsx', sheet_name='Sheet 1')
sheet4 = pd.read_excel(filepath=r'C:\athirdfile.xlsx', sheet_name='Sheet 1')

outputfile = r'C:\output.xlsx'

sheet1.to_excel(outputfile, sheet_name='Sheet 1-1')
sheet2.to_excel(outputfile, sheet_name='Sheet 1-2')
sheet3.to_excel(outputfile, sheet_name='Sheet 2-1')
sheet4.to_excel(outputfile, sheet_name='Sheet 3-1')

this reads 4 single sheets from 3 seperate files and creates a single output-file with 4 sheets.

You could do something along the lines: 

import pandas as pd # pandas module for dataframes
import os  #module to get working directory
import xlrd# module to open excel files
from openpyxl import load_workbook #other module to open excel files
gbl = globals()
cwd =os.getcwd() # get the path to the current locaction
folders =[x for x in os.listdir() if "." not in x] # check for the folder with all the excels
path=cwd+"\\{}".format(folders[0]) # get the path to that folder
# listado de curso 
files = os.listdir(path)    # path to files 
files = list(filter(lambda f: f.endswith('.xls'), files))+list(filter(lambda f: f.endswith('.xlsx'), files))
files = [x for x in files if "~$" not in x]
writer = pd.ExcelWriter('multiple.xlsx', engine='xlsxwriter')
for x in files:
    workbook = pd.read_excel(path+"/"+x,sheet_name = None)
    for i in workbook.keys():
        gbl["workbook"+x+i] = workbook[i].copy()
        print("workbook"+x+i)
        gbl["workbook"+x+i].to_excel(writer, sheet_name=x+i)
writer.save()

I have edited it so you can do it with excel files with different sheets.