You can have as many data sources in one workbook as you like, Mariana. Just pick the one you want when you create a blank worksheet. No need for multiple workbooks.
When you copy worksheets from one workbook to another you can run into problems with multiple copies of the data sources as well - that may be what's happening. Are you sure that you're actually refreshing the data source that a given worksheet is using?
There is really no need to create separate workbooks and copy to a third. Tableau can handle multiple data sources in one workbook. The copying that you are doing is probably modifying the path to the Excel workbooks in the Connection information.
If you do a search on Google for Tableau with Excel as Data Source you will find a plethora of information.
Thank you for the quick answer.
Yes, I am refreshing the data source. I add new rows to the excel file and then I click on "refresh data source". Even though I think refreshing would not be necessary since I am using a Live connection (Is that right?).
I will go and try to add different data sources on the worksheets.