It is possible, but as you said, it involves some work.
Once you have the league created, go to the Transactions screen, Free Agents tab. On the right-side there's an Actions dropdown. Click that and select Import Historical Player(s)
Then it'll ask you to pick your database - choose the historical_database.odb
That'll open up a form where you can enter an individual player (to bring in one guy at a time), or there's an option to use a text file. This is what you want if you're importing a lot of players at once. Look for the 'Click here to select file' box.
To set up the file is easy, it's just a text file, but it has to be formatted just as it shows on the form. You'll need the Lahman ID, year, and optionally, the team you want to put the player on.
So if it was Ted Williams, 1941 and you have a Boston team in your league with the abbreviation BOS, the line for Williams would be:
willite01,1941,BOS
Then you'd do the next line for Pedro, and so on and so on. The trickiest part is probably finding the LahmanIDs for the players, but you can get them Baseball Reference - just open a player's page and it'll be in the URL. Ted Williams' page is:
https://www.baseball-reference.com/p...illite01.shtml
The part you want is after the /w/ and before the .shtml
Hope that helps!