Well, I just stepped through it once to figure out exactly how to do it. Here how I did it, and the gerbers seem reasonable:
1) for each board you want on the panel, right click on the board outline and "convert to shape". This will put it on the "board cutout" layer. Be aware that any copper pours that snap to the board outline MUST be fixed in place before you do this step. If you don't, when you draw a board outline later on, it will snap to the PANEL, and that's not what you want. Simply go into the copper pour, and uncheck the options for Depending On Board, and Snap To Outline. That will keep the points the same, but it will no longer be linked to the board outline.
2) open a new PCB layout and draw a board outline for the panel size you want
3) Cut and Paste each board you want in the panel from your original file to the new "panel" file. Make sure you select "Keep RefDefs when pasting" from the edit menu before you do this.
And that's it. I exported some gerbers, and everything seems to work reasonably enough. Really, the only tricky part is being sure to remove the link between the copper pour and the board outline before starting. From then on, it's pretty straightforward.
Be advised that I've not actually made board with this technique, but can't see any reason why it won't work, and it's actually pretty simple...only took me about 20 minutes to figure it out. Honestly, Diptrace should fix this so it's easier to do, but I'm not sure how well other packages handle this either.
I hope that helps. Please let me know if you get what you want.
edit:
I swear, sometimes I feel like DipTrace should be paying me. I'm not even trained in PCB design at all. I simply had to learn to do it because my business requires it, and I don't have an army of people that just do artwork I can hand stuff off to. I do it all myself. That said, I somehow seem to know their stupid software a lot better than they do, based on some of what I've seen on their own forum. It's such a great software package, with so much potential, and honestly I'd be lost without it, but they really need to get their heads out of their butts and stop screwing around with this differential pair crap. I wish they'd just fix the childish interface they stubbornly refuse to update (windows that don't rezise? In 2015? Really?), some ridiculous limitations when it comes to drawing patterns, lack of hot-key configuration, etc etc....just basic stuff. There's so much in there that's done brilliantly, but it still has the look and feel of a prototype. Just bite the bullet and fix the basics already.