Assuming you are using the email-only option: Save all the emails into one folder on your computer. Each email program is different but you can usually just drag and drop them into a folder (sometimes referred to as "Batch"). If not, you may need to save them one-by-one but it's still better than entering them by hand.
Once all your emails are in a folder, select the File -> Import Web Emails menu item. Now choose the "Select
Directory" button and then choose the folder which contains all your emails.
That's it. Import should now be complete.