I would like to connect a folder to PBI - so I don't have to upload each file individually.

Given the comments and feedback we've heard from other places on this idea, we've shipped a feature that addresses the most commonly requested parts of it. You can do this by going on Power BI Desktop and clicking on the 'Get Data' button in the ribbon. Once the selection pops up, select the 'File' option, and the 'Folder' option from the resulting menu. Then click 'Connect'. This will prompt you to select the relevant folder path, and connect the folder to the PowerBI project being created.