You were very close. The following "simply" forces the first two columns to be read as character strings, which saves the leading zeros.
R> df <- read.table(text="20010101 000000 0.833
20010101 000500 0.814
20010101 001000 0.794
20010101 001500 0.772",
+ header=FALSE, colClasses=c("character", "character", "numeric"),
+ col.names=c("Date", "Time", "Val"))
R> df
Date Time Val
1 20010101 000000 0.833
2 20010101 000500 0.814
3 20010101 001000 0.794
4 20010101 001500 0.772
Now what you were attempting "just works":
R> df$DateTime <- as.POSIXct(paste(df$Date, df$Time), format="%Y%m%d %H%M%S")
R> df
Date Time Val DateTime
1 20010101 000000 0.833 2001-01-01 00:00:00
2 20010101 000500 0.814 2001-01-01 00:05:00
3 20010101 001000 0.794 2001-01-01 00:10:00
4 20010101 001500 0.772 2001-01-01 00:15:00
R>
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