Official comment

On a related note, we did add the ability to create new custom object records via the Import process in each object. For example, let's say you want to create new or associate existing Companies records with Contacts while you're importing the new Contacts.
- Prepare a CSV for the new contacts with the Company Name field, and populate it.
- Upload the CSV in Contacts > Settings > Upload Contacts
- Choose "Merge and Underwrite" on step 3 of the import wizard
- In step 4, note that the Custom Objects related to Contacts are now listed in the drop down for matching fields.
- Match up the Company Name with the Custom Object "Name" field.
- Choose "Merge into existing records ..." on the dialog that pops up and select the Companies "Name" field
- Finish the import wizard and see the new and existing Contacts related to their Companies.
- If the Company did not exist in the related Companies object it will be added. You can have more Companies field in the CSV, of course, and those fields will "Merge and Underwrite" using the same logic as you checked off in step 3.
See our blog post on Importing Relationships for more information.