You can load all the books at once. Generally it's best to wait until you are closer to finishing a book before importing the next one though. The reason for this is that Foundry works by having everything in world loaded in RAM and sent to each client. 3 books worth of stuff isn't going to grind your game to a halt but you may still notice some slowdown on the initial load into the world from it. It's also good to wait because the module works by pulling actors from the system's compendium, and we update those creatures all the time, fixing errors or adding in new automation. So by waiting until you are closer to using them you likely get more accurate and better automated NPCs in your game world.