Yes, use File...Place, which will bring in the images as Smart Objects on their own layers.
You can also open an image, select all and copy to the Clipboard. Then, in your target file, use Paste to get the image in on its own layer.
Thanks Ken. Unfortunately I have about 80 small images I want to add to the main background. A kind of 'collage' if you like. And I was hoping to be able to bring them all in at once in separate layers. Thanks.
Europe, Middle East and Africa