The answer is to import them one at a time, but automate it. The first step is to get a list of all the files in a folder. But, since FileMaker cannot natively do that, some external tool is needed. On a Mac, AppleScript, running in a Perform AppleScript step would be the 1st choice. On a PC, I would think of using the free MooPlug.
Once you have the list of files, you need to Loop thru them, extracting them one a time, converting the OS file path to a FileMaker syntax file path (not hard to do), set the resulting path into a variable, via a Set Variable script step (read about in the Help); put that into the Import file path box, and Import.