You can import external files, using the File -> Import Artwork menu. In the beta, the supported files types are ai, psd, gif, jpeg, png, swf, and fxg. Once imported, these files will appear in the Library panel.
A number of people have asked about creating custom pre-loaders. Currently this is not possible from within FC, and while you certainly can do it in Flash Builder, it requires wriitng some code.
thanks for the reply. I'm really trying to figure out the limitations of Catalyst. The benefits are very clear! Especially for a designer like me who prefers to send his time designing sites - not implementing those deigns.