Here is the easiest way:

Create a folder in the root of the SD card and call it IMEXPORT. Copy the midi files into this folder on the pc. Transfer to 2600 and go to SD Tools menu, SD Sound, SD Sound Import. The procedure should be obvious from the screen, select files either with * or ALL, name a playlist, and ok in the screen. You can now delete the files in the IMEXPORT folder on the pc to save space on the card.