I would suggest almost certainly using Multisession mode.
Burn one movie onto a DVD-R and Save the folder when queried if you wish to do so (I'm discussing Nero).
Continue the Multisession mode and add the next movie to the folder before Saving again.
Continue until the disk is full.
Note that it is essential that the folder is Saved after each session; elect to Finalise before the last session.
However, I have numerous multisession CDs and DVDs holding files of all types and none has been Finalised - all work fine on mine and other computer systems.