Hello @Victor
Welcome to one of the greatest and friendliest Community on the internet.
If you are speaking of files whose extension is the normal kmmacros you can select any number of them in the Finder and either drag them on the Keyboard Maestro Icon in the dock of perform a right click and then a click on the menu’s entry open.
Keyboard Maestro should detect all your selected macro files from Finder and import them.
Greetings from Germany
Tobias