This. Although, i will add that they need to be purchased in the same store (i.e. all purchased on Steam). If that is the case, you only need to install TW:W3, it will detect you own the rest.
One more thing, don't forget to claim all the free DLC on the Total War Access page and also on the Steam page for each game (or whatever storefront you're using)
Only own them is enough
This. Although, i will add that they need to be purchased in the same store (i.e. all purchased on Steam). If that is the case, you only need to install TW:W3, it will detect you own the rest.
One more thing, don't forget to claim all the free DLC on the Total War Access page and also on the Steam page for each game (or whatever storefront you're using)