Are the txt files, has the same format?
If so:

 CREATE CURSOR cCursor (.......) && Here you can specify the format of the txt
 all_txt = ADIR(my_array,"*.TXT") && You can put the fullpath to txt files
 FOR nFile = 1 TO all_txt
     txtFile = full_path + my_array[nFile, 1] && You must put the fullpath to txt file
     APPEND FROM (txtFile) SDF [DELIMITED] && See help for more
 NEXT

Othe way is to read the txt file one by one into variable & process that variable to append the cursor