Do I have to make a new delivery appointment for each parcel?

No, that's not necessary. You can set you delivery preference with the official My DHL app. For example, you will be able to select your preferred DHL ServicePoint, or have your parcels left in the Agreed Place by default. You will still have the option of making a separate delivery appointment for each parcel. You can change the delivery day or time per parcel 3 times, after that it is no longer possible.