You should definitely consolidate your PF balances. Funds lying in your inactive PF account shall stop earning interest after 3 years. Hence to prevent loosing interest, please consolidate your PF into your new PF. This can be easily done by contacting the Finance / HR department of your new company and they should get it sorted for you.
It is always a good idea to consolidate your PF fund from your old PF accounts in to the PF account with the current employer. You can fill in PF Transfer form(Form 13) and submit it to your Organisation's HR department which can further followup with your previous employer and EPF or PF trust(whichever is applicable) and get your fund transferred from your Old PF a/c to your new PF a/c.