Later epistles in the NT make us aware that the writers knew about eachother, and Paul asked that the churches exchange letters.
Paul to Collasse:
Colossians 4:16
After this letter has been read to you, see that it is also read in the church of the Laodiceans and that you in turn read the letter from Laodicea.
The writer of 2 Peter refers to the letters of Paul:
2 Peter 3
15And count the patience of our Lord as salvation,
just as our beloved brother Paul also wrote to you according to the wisdom given him, 16as he does in all his letters when he speaks in them of these matters. There are some things in them that are hard to understand, which the ignorant and unstable twist to their own destruction,
as they do the other Scriptures. 17You therefore, beloved, knowing this beforehand, take care that you are not carried away with the error of lawless people and lose your own stability
The book of Revelation is addressed to seven churches.
The churches who accepted the writings in the New Testament later became the orthodox churches. The apostolic fathers (Justin Martyr, Ignatius, Polycarp, and Ireneaus) fit seamlessly into this tradition, bearing witness that the churches accepted the four Gospels, the epistles of Paul, and the catholic epistles - 250 years before the cannon was finalized.
EDIT: We don't see in the NT that the authors thought that their writings would be compiled into one book, but we do see that the churches had letters on hand from the apostles and they were considered authoritative.