What is the proper way to combine words?

With a -, like Middle-earth? Just putting the words together, like Redapple? Or capitalizing both like Apple Pie. Which is proper, what are the differences between, and why are all three used?

As commented by IanS

In English, a hyphen may sometimes be used if you think the thing you are describing only attains its meaning by combining two nouns, e.g. set-screw, but it isn't usually necessary. Simply running the two together is used in some languages such as German but is not usual in English, although by convention some words like dishwasher, flightpath, bedroom, or sparkplug do. Capitalising nouns usually means it is the proper name of something. Usually no hyphen is used at all, e.g. sewing needle, coffee cup, or heating element. The full rules are more complicated.

From Strunk & White's Elements of Style:

Hyphen. When two or more words are combined to form a compound adjective, a hyphen is usually required.

"He belonged to the leisure class and enjoyed leisure-class pursuits."

"She entered her boat in the round-the-island race."

Do not use a hyphen between words that can better be written as one word: water-fowl, waterfowl. Common sense will aid you in the decision, but a dictionary is more reliable. The steady evolution of the language seems to favor union: two words eventually become one, usually after a period of hyphenation.