If they are images you can use Import from Folder, but otherwise you are probably going to have to use a plugin like Troi-File
The simplest way to achieve this would be to:
1. Put all the images you want to import into a single folder
2. Use the Import Folder menu command (see screenshot). This will open a dialog where you must select the folder which contains your images and choose the type of files you are importing. When you continue you will see another dialog (Import field mapping) where direct the image itself to your container field (Note that you can choose to import, in addition to the image itself, its file name and file path if you wish, but of course you have to have fields to store this additinal data.)
3. When ready, click the import button, allow autoenter options in the next dialog, and it will all happen. FileMaker will create a record for each image it imports.
Hope that helps.