There is a select all... right click in the dialog and you'll see the command shortcuts.
As for your other question, as long as the .sldprt/asm files have another category to fall into, yes. The bottom line is that you need to tell the system where you want files to go. It can't guess.
Your VAR should be able to help you with these questions while you are coming up to speed.
You can set an option (in the admin tool) with regards to how you want references handled.
Also, on checkin you can right click to select all references.