Long story short, unless len(l1 + l2) ~ 1000000
use:
L = l1 + l2
L.sort()
Description of the figure and source code can be found here.
The figure was generated by the following command:
$ python make-figures.py --nsublists 2 --maxn=0x100000 -s merge_funcs.merge_26 -s merge_funcs.sort_builtin