title: concat df with multiindex in an append mode
body: <p>Ok here is my question I wan to use multindexing so that I have a 3-d df. I can use </p>
  
  <pre><code>df = pd.concat([df1, df2], keys=('df1','df2'))
  </code></pre>
  
  <p>but how can I add a new df3 on the df? Essentially I want to add a new df in a loop in an append mode? I have a few thousand dfs and storing all of them before I concat them wont be efficient. Is there a way to do that? </p>
  
  <p>more specific lets assume I have the following df's</p>
  
  <pre><code>df1 = pd.DataFrame(columns=['a', 'b', 'c'])
  df2 = pd.DataFrame(columns=['a', 'b', 'c'])
  df1.loc['index_1','b'] = 1
  df1.loc['index_2','a'] = 2
  
  df2.loc['index_7','a'] = 5
  df3 = pd.DataFrame(columns=rating_matrix.columns)
  df3.loc['index_9','c'] = 1
  
  df = pd.concat([df1, df2], keys=('df1','df2'))
  
  
      a   b   c
  df1     index_1     NaN     1   NaN
          index_2     2   NaN     NaN
  df2     index_7     5   NaN     NaN
  </code></pre>
  
  <p>hopw can I add in a similar way df3?</p>