High level steps are.
1) Create a ledger set and place all the desired ledgers in the set. (Calendar and COA must be the same)
2) Make sure your responsibility has access to all the ledgers that you wish to consolidate (through Data Access Set)
3) Now you run existing FSG report for the ledger set by overriding the ledger segment at run time. You can also assign this ledger set permanently to the row set by adding it existing account assignments.