Hi,
No there is no automatic import of multiple XML files - its too bad the author did not put them all into one XML file.
You could probably manually merge them but it would still be a bit painful as you need to have one set of <Recipes> tags surrounding the actual <Recipe> records, so you would have to load and manipulate the XML.
If you can find the author he could easily export them all at once to either a BSM file or XML file for you.
Cheers,
Brad