There is a quest to combine the dragon priest's masks. I have all the masks but haven't received the quest yet. I was told you get it after you get all the masks - I have been waiting for a long time, is it a bug?
If you have been past the main mission where you have to go to the Sky Haven Temple then you should be able to get the quest by going to the Blades leaders. located at Sky Haven Temple and they will tell you about the quest and the masks. They will however ask that you kill paarthurnax and will not give you the quest if you don't (you can however still get the masks, and the reward too, it just won't say you completed the dragon mask quest). If you do kill paarthurnax the grey beards will not like your actions and will no longer 'welcome you with open arms'.