A good question for the Parameter forum, and a topic which may have been discussed there before. There's also a post there about the new "all36_lipid" files, which I recommend over either "all27_lipid" (worst choice) or "all32_lipid" (alkanes better).
In brief, the above won't work with the current structure of the RTF and PARAM files (a revision is planned). You must manually combine the RTF files, taking care to avoid duplicate atom numbers and names in the MASS statements, and duplicate residues. I suggest adding the "all36_lipid" files to the "all27_prot_na" files as the best and easiest pathway. For the PARAM files, you should combine each section, i.e. add lipid BOND terms to existing BOND section, etc.