There is also an experimental plug-in for "append import" (importing files end-to-end).
The plug-in is available from this topic: viewtopic.php?f=42&t=59528
Take care not to download one of the obsolete versions - the latest version is available in the first post, or near to the end of the topic.
The main limitation with this plug-in is the amount of RAM on the machine as the plug-in needs to load all of the files into RAM at the same time before importing.
See the "Limitations" help screen for other limitations.