In Enterprise Guide, you can create an import step. This is preferable for EG projects that will always be in EG, as it is OS-agnostic, server-agnostic, and version-agnostic, and leaves a single step on the process flow that you can move around where you need it to be run.
Choose (File menu) -> (Import Data), and then it will guide you through importing the file. When it completes, this will leave on your process flow an Import Data step that you can link to other programs (if you're using this program repeatably).
During that wizard, you will tell it what dataset name you want it saved as, and that will then exist as a SAS dataset in your project (usually in the work library unless you specify otherwise).