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Audacity does not have the ability to import at the cursor point yet, and there is not any one step way to import files end to end.
You can import the songs then make sure they are in correct order from top to bottom (or rename the songs to be in alphanumeric order before importing them). If you need to reorder the tracks you can drag them up or down by click and drag on the Track Control Panel to left of the blue waves.
Then Edit > Select > All followed by Tracks > Align Tracks > Align End to End. If the first song is not in the correct place on the Timeline, you can Select All again, change to Time Shift Tool (F5) then drag the tracks all together. Press F1 to go back to Selection Tool.
If you prefer to mix these to one track, you can then Tracks > Mix and Render.
There are also a couple of Nyquist plugin solutions to append-importing/arranging tracks:
At least the first listed of those can import at the cursor point.