Regrettably, import only supports putting your items into the top level of your project at this time. There's a bit of good news, though - you can select multiple items at once in order to move them where they need to be.
Go to the tabbed list view for the items you're importing - Use Cases tab, Requirements tab, etc. - and using shift + (or ctrl +) click, you can select multiple items at a time (see attached). You can then either drag them to their new owner in the project browser, or right-click and chose Move To from the context menu.
Another tip - create a new custom field in your project before you import, then include that as a column with a value in your spreadsheet. This will make it a bit easier to sort the items at the top level if you've already got a bunch of the same item type there.