Loading CSV files into Worksheets

Hi,
I'm opening a series of .CSV files into Excel in order
to do some statistical analysis. I'm using the
Workbooks.Open function to do this. Unfortunately,
This creates a seperate Workbook for each file, so I
end up accessing the data like this:

Workbooks(i).Worksheets(j).Cells(l,m)

Since I'm using automation from VB, this process
is very slow. If could instead load the data into
Worksheets under one Workbook, I would think that
it would speed things up a bit since I would be
getting rid of one level of object hierarchy.
I could access the data like this:

Worksheets(j).Cells(l,m) and not need the reference
to the seperate workbooks.

Oh Excel guru, please show me the way.
Thanks