That's right - do not drag it into the Godot GUI - instead drag it into the game folder in Finder. Manual page here - this is worth reading
When you drag resources like sprites into the Godot game folder, Godot will detect them and import it automagically. Also, if you change the file, it should be re-imported. Or you might want to trigger a re-import to change the parameters for how it was imported.
You probably want to make a folder structure to store assets like these.