Record one macro importing the SW file. And then use the macro from this post https://forum.solidworks.com/message/682584#comment-682584 and substitute STEP file extension with SE extension (obtained from the recorded macro).
Take a look at CrossManager. It is a CAD converter that can convert several files at the same time: http://www.datakit.com/cad-convertors/solid-edge-3d-to-solidworks-3d/14-3-0.html
It is not free, but it is very easy to use: you just need to drag and drop your Solid Edge files in the software to convert them automatically in SOLIDWORKS format.