HTML Import 2.2 is now available, and it now handles linked documents! 2.0 introduced the image import feature, which uploads linked images to the WordPress media library. In 2.2, there’s an additional option to import linked files of any type. You can specify the allowed extensions — as with the HTML cleanup options, there’s a recommended list — so you can tailor this feature to your site’s needs without getting tripped up by WordPress’s idiosyncratic list of allowed MIME types.
Thanks to a bit of debugging by Travis Ward, the importer also corrects for links with encoded URLs that lead to unencoded file names (e.g. my%20file.doc now correctly locates my file.doc).
As always, support is available via the forum.