What do you mean by "project"? SolidWorks has parts, assemblies, and drawings.
Do you want all of the obj files as bodies in a single part? If they are all part of the same assembly, you can "Save As" a part. Be sure to set your options to save all of the parts.
When you make different part files by importing the OBJ/STL files into SW then you can either insert parts into a part (Insert>Part) or make assembly of them and save as Part. That way you would have all the files in one file.