Unfortunately there is no way to combine SF2 sounds using YEM. As far as I know there is also no other 3rd party software (but I'm not sure in any case...)
Also it is not possible to create loop points for your samples on YEM. But you can easily do so using Yamaha's Tiny Wave Editor (TWE) . It is free, easy to use and do the job!
Do a quick search and you will found easily download links.