Thanks for trying out Premiere Rush and highlighting your doubt.
You can add media files in a Premiere Rush project from Onboarding Media Browser while creating a project or in-App Media Browser when inside the project(Editor).
Create A new project from Home screen --> Onboarding Media Browser : You will notice shortcuts for different locations from where you can select media files, select as many as you like and Hit create from the bottom to create a project with the selected media files
When in Editor, click on + button to open in-app Media Browser : it will have same experience as that of Onboarding Media Browser , select media files and Hit Add to add them to timeline/project