I use File > Import > group select the waves in the Windows browser (Shift Click) and click OK or whatever the dialog button is. Sometimes you have to drag it to the start due to the Import at Original Time Stamp but that can be disabled in Preferences.
One time though I was importing an entire album worth of waves and they were all sorted by instrument so basically I had Kick (song 1), Kick (song 2), etc... Snare (song 1), Snare (song 2), etc through about a instruments over about 25 songs. I basically had to comb through it all one song/instrument at a time using Ctrl + Click in the windows dialog to get them to import the way I wanted. If I just imported them all at once each song got a new track for each instrument. I wanted each instrument to have one track and then each song had a clip on that track. By using Ctrl + Click to select all the waves for one song at a time I managed to get it to work. It was a real pain to figure out (and do) though especially considering some of the songs didn't incorporate all of the instruments. It did however work in the end.