In previous versions of GameMaker it was a complicated
business to import and export files from one project to another,
and if you weren't careful you could end up with a corrupt game or
loss of data. Thankfully, that has all changed with GameMaker:
Studio as the *.gmx format makes sharing resources
between projects a simple and painless procedure.
When you save your project, GameMaker: Studio creates a number of special files in the game directory (this can be found easily through the drop down Help Menu) with the extension *.gmx and a sub-extension that indicates the resource type (eg: a room resource would be called game_room.room.gmx). These *.gmx files contain all the information that GameMaker: Studio needs to define the object, sound or whatever resource, and you can add these into a new project simply by right clicking on the resource tree and selecting Add Existing Resource, which will open a standard file selector where you can browse to the file you wish to import.
You can select multiple files in this way too and they will all be imported into GameMaker: Studio, but they must all have the same sub-extension (ie: you can load ten *.object.gmx at once, but not a *.sound.gmx and a couple of *.sprite.gmx). It should also be noted, that if you add an object resource into your game, if it has a sprite associated with it this sprite will not be imported. You have to make sure that any sprites your object needs have been imported from their appropriate *.sprite.gmx. The same goes for any rooms that you import, as they will be missing the objects that they contained if you have not imported them previously. So, it is always best to import sprites, sound, fonts and other resources before objects, and those you should import before rooms.