Problems with convert

Hi everybody,

I want to visualize results of a numerical simulation.  This produces  
for example 6000 images (typically I need much more):

	data/particle_0001.gif
	data/particle_0002.gif
	data/particle_0003.gif
	data/particle_0004.gif
	data/particle_0005.gif
	data/particle_0006.gif
	data/particle_0007.gif
	...
	data/particle_6000.gif

My naive idea was to create an animated gif by

	convert -delay 10 data/p*.gif  movie_particle.gif

Ok, this does not work, because my shell does not like this many  
arguments.  No problem, so I wrote a shell script for splitting the  
problem

	convert -delay 10 data/p*_01*.gif movie_particle_01.gif
	convert -delay 10 data/p*_02*.gif movie_particle_02.gif
	convert -delay 10 data/p*_03*.gif movie_particle_03.gif
	convert -delay 10 data/p*_04*.gif movie_particle_04.gif
	...

Such that each anaimated gif consists of about 100 images.  While  
this works so far:  it almost seems to be impossible to glue together  
these packages:

	convert -delay 10 movie_particle_*.gif  movie_particle.gif

I mean this takes for ever ...

So my most likely very dumb question: what is the right way to do this?

Michael


P.S:  In case this is needed the image files are here:

	http://www.mathematik.uni-ulm.de/~lehn/data.tgz