I think you have to import them one file at a time, which can be scripted. Do all the files go to the same table? Are all the field names the same in each file?
A plug in can generate a list of the files found in a given folder. That can then be used in a looping script to do your imports.
Or a system script such as a windows batch file can generate a text file listing the contents of a folder which you can then import and parse into individual file names for the same purpose.
if you locate that folder inside your documents folder, it's possible for FileMaker to do the entire operation without such "additional help" by using the Get ( DocumentsPathListing ) function call to get a list of all objects inside your documents folder so that you can then parse your file names and file paths out of that list.
If you have not used a $path variable with import records to import, see this thread for more on the technical details: Exploring the use of a $Path Variable in Scripts