Import Records is a script step that can use a $Path variable to find the file to import. So in a loop, you can assign the $Path variable to a different value with each pass through the loop.
You might assign the file names to a variable in a list: Set Variable [$Files ; value: List ( "file1" ; "file2" ; ...)]
You can then use GetValue with a loop variable to loop through the file names to compute a file path where the file path text is the same except for the file name at the end.
And with a system script or plug in, it's possible to get a list of all files in a folder. If you use a folder inside your Documents folder, you can even do this without any system script or plug in by using Get ( DocumentsPathListing ) and parsing out the list of files in a particular sub folder inside Documents.
You may find this thread on $Path variables, container fields and the script steps that use them helpful: Exploring the use of a $Path Variable in Scripts