There are three pathways for importing/embedding an audio file into a session. One is initiated from the File menu, one is initiated from the track context menu, and one is initiated from the region list. These methods are all equivalent: they open the file import dialog. Once the dialog is open, you can choose to add new audio as new tracks, as regions in the region list, or as audio in the selected track. You can change this behavior once the dialog is opened.

If you use Nautilus as your file manager, you can easily import files into your project by dragging them onto the desired track, then releasing the mouse button. The file will then be embedded into your session.