As ghostdog74 said, but this time with headers:
with open("out.csv", "ab") as fout:
# first file:
with open("sh1.csv", "rb") as f:
fout.writelines(f)
# now the rest:
for num in range(2, 201):
with open("sh"+str(num)+".csv", "rb") as f:
next(f) # skip the header, portably
fout.writelines(f)