How to convert lots of files to PDF at once
Convert a batch of files to PDF with File > New > Convert files to PDFs in PDF by Zaweba: one PDF per file into a folder you choose. Free and offline.

For a pile of files, File > New > Convert files to PDFs in PDF by Zaweba does the whole lot in one go. Choose the files and a folder for the results, and you get one PDF for each file, all made on your own computer.
Converting files one at a time is fine for two or three. For a year of receipts photographed on a phone, a folder of scanned pages, or a set of notes written as text files, a batch saves a great deal of clicking.
What the batch does
Each file you choose becomes its own PDF, and all of the PDFs go into the folder you pick. The originals are left as they were. You can then open the results, combine them or send them on.
The kinds of files PDF by Zaweba makes PDFs from include pictures (JPEG, PNG, TIFF, GIF, BMP, JPEG XR and ICO), plain text and Markdown files, and HTML files. A batch of photos and a batch of text files are both everyday jobs for it.
Running a conversion
Put the files you want converted in one place, if they aren't already, and give them clear names. Each PDF will be named after its file, so tidy names now save renaming later.
Choose File > New > Convert files to PDFs, select the files and choose the folder for the PDFs. A new, empty folder is the best choice, because it keeps the results apart from the originals and makes them easy to check.
When it's done, open the folder and look at a few of the PDFs, especially the first and the last and anything unusual.
One PDF per file, or one PDF of everything
The batch gives you one PDF per file. Sometimes that's what you want, and sometimes you really want them all in a single document.
If you're converting pictures, File > New > From pictures makes one PDF with a page per picture, which is usually the right choice for a set of scanned pages or photos of a multi-page form.
If you've converted mixed files and now want them together, File > Combine files joins PDFs into one, with a page list for each file and a bookmark for each one, so the combined document is easy to find your way round.
Batch jobs on PDFs
Once your files are PDFs, other batch tools in PDF by Zaweba can carry on. Reduce file size can work on several files at once into a folder, leaving the originals untouched. Tools > Actions are saved lists of steps, such as removing hidden information, reducing size, protecting or flattening, that you can run on many documents. And watched folders run an action on every PDF put in a folder while the app is open.
Before you convert
JPEG 2000 pictures aren't read, so convert any of those to another format first. Text files are laid out on A4 in a fixed-width font, and Markdown files are formatted with their headings and lists, so check a sample of each kind.
PDF by Zaweba is free software for Windows that works offline with no account, so whole folders of private files are converted without being uploaded anywhere.