Unless you have alpha channels. In which case, set the background to transparent and save your file as a png. Now, double click in the level editor and click the "From file" button. Select your file and then select which type of object you wish to create it is, eg. Active, Backdrop, etc...
You can also import multiple files as different frames of a single object.
No, I'm sure you're right.
I was just thinking a lot of the time when people have posted about trouble importing graphics in the past, it turned out they were using the newgrounds version, which doesn't support alpha channels.