Hi!
There is no specific 'right way' to do it at the moment, but some people ether only catalog the first part and just copy the others into the folder later, or join all parts together to make a proper single video first, then catalog that video.
Personally if I had to do this, I would combine all video parts first into a proper movie, then do the cataloging. Specifically because subtitles are not designed for multiple parts anyway, so you'll want it as a proper movie.