<p>Related to this <a href="https://stackoverflow.com/questions/59075/how-do-i-save-each-sheet-in-an-excel-workbook-to-seperate-csv-files-with-a-macro">question</a>, how to save many different csv files into one excel workbook with one sheet per csv ? I would like to know how to do this programmatically in Java.  </p>

You'll need some form of library for accessing Excel from Java. A Google search turned this one up:
http://j-integra.intrinsyc.com/support/com/doc/excel_example.html
An alternative is to use the XML Excel format that came into being with Office 2003. You'll end up with a XML file, but you can open it in Excel and see the different sheets.
http://www.javaworld.com/javaworld/jw-07-2004/jw-0712-officeml.html