Sweeping your private keys means to send all the bitcoins that can be unlocked by those private keys to an address in your existing deterministic Electrum wallet. It is a one-time on-chain operation that will cost you transaction fees.
To sweep your private keys you go to Wallet menu > Private keys > Sweep:
Then you enter your private keys and click on sweep:
The address displayed in the window above by default will be an address in your wallet. This is where all the funds will be sent.
Your private keys need to be in Wallet Import Format (WIF) or mini private key format. These are standard formats for private keys. More about that here.
Click on sweep and electrum will look up what bitcoins have been sent to the corresponding address and display the send tab because in effect you are sending the coins to an address in your wallet. You can customize the fees for this private key sweeping transaction using the send tab and then click on send to do the transaction.