Julian is quite right, I did the same myself.
Bear in mind you must meet the requirements for the CPL etc...for the ME I think you need 10 hours of PIC or "acting PIC" time logged.
I did:
JAA PPL SEP
Added FAA IR to my FAA SEP piggy back certificate (IMC given for free on JAA PPL)
Added FAA ME and at same time added the IR privileges by shooting two approaches to my FAA piggy back certificate
Did the FAA ME CPL test (IR privileges automatically added due to private MEIR)
Did FAA SE CPL (IR privileges already allowed due to private IR)
cheers