Individual files for animation

At this point I tried to create an animation using some assets that I already have, but instead of a sprite sheet, each part of the animation is a separate png file.
I got it to work, but not as easy as I thought.
Once I imported all the individual files in the sequence, I tried to select them all, right click and selected Create -> Animation.
It only creates a blank animation. Only way it would work, is to expand each png, and select the image from the expanded arrow.
This works, but if I have an animation with 20 images in the sequence, this can be very time consuming. Is there a better way to deal with these? Perhaps I could add them to my own sprite sheet i n Photoshop?

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