Is there a way to import more than 1 file at a time using CDMage?
Short answer: Nope.
Less short answer: You can by importing sectors but that means combining all the files you want to import into one big file, which is far more trouble, risky, and definitely not what you're looking for.
To be honest, if importing one file at a time bugs you, I'd suggest quitting modding altogether because it's the easiest, least tedious and least obnoxious thing there is about FFT modding.