There are a few ways that you can create a workspace with multiple input datasets:
If the sources are all the same format and schema: Select multiple files when creating the workspace.
If the sources are all the same format and schema: Double-click the source dataset setting in the navigation window and select multiple files.
For sources of differing format and schema: select Source Data > Add Dataset on the menubar. This lets you add new source datasets to the workspace.
You can also select Source Data > Add Dataset if the format and schema are the same, but other dataset settings need to be different.