I'm not sure you can when you do an import - it's a one-shot thing each time. I know that if you link, then you can export & re-import your settings...
Take a look at the Importing and Linking topic in http://www.grainge.org/pages/authoring/rh_tour/index.htm. I don't think the dialog was meant to be used with importing although there is good reason that it should be, as you are aware.
There is a way of making it work but that hits a bug.
I will be filing a feature request and ask you to do the same as the more people who indicate it is wanted, the greater the chance of implementation.
See www.grainge.org for RoboHelp and Authoring tips
Thanks! I filled out a bug on this--it really seems like a bug to offer a choice but never activate it,