How do we get the master list of "permno" of each company we need the data for. I was thinking of taking the list of "permno" and putting it in the CRSP/CRSP-Merged to get the annual variables for each of the companies(public and private).

Actually in this all this work would be unnecessary. You just select "Search Entire Database" option for the screen input. This will pull all PERMNO (or GVKEY, depending if you are in CRSP or Compustat.) This the fiscal year exercise, you should be in Compustat. You will then be provided whatever data variables you requested for ALL companies.