In fact, making rope out of sheets is a whole separate area of experience, and I've never done it. I think the preferred way is to cut the sheets into strips and braid a bunch of the strips together, then tie those braided rope segments together into a longer rope, but for Heaven's sake, don't take my word on it!
I would NEVER trust such a rope unless I saw it in Ashley or some other authority, or I was in a high rise that was burning down and there were only two choices: go down the damned rope or be roasted alive.
I do know that for climbing, a double fisherman's knot is often used to tie two ropes together:
It's very secure. Make that a triple or quadruple knot and you have even more security. I've even heard of people doing septuples, then tying the two ends in double fisherman's knots around the standing part of the rope (saw that in a book on rescue knots, lol). I guess the theory is, when your life depends on it, you don't want to mess around.