Gem for OneNote now is provided "File Links" to insert multiple local files links.
Click the "File Links" in hyperlink group in Object tab.
If you want to append some new file links to this table, put the cursor in this table, and click the "File Links" button again, add the new files in "Import file links" dialog, next to click the "Append" button to append these new file links to the tail of the table.