Either way will work, but I think that if you just copy (or move) the files over, they’ll play ok but they’ll show up as an unknown book.
For each book, create a folder on your computer named with the title of the book, copy (or move) the book’s files into it, then copy (or move) the folder into your Fuze’s Podcasts folder.
Or you could create and name a new folder for each book in your Fuze’s Podcasts folder and then copy (or move) the Mp3 files for each book into the appropriate folder.
If nothing else, putting the files into their own folder makes it easier to delete them if you decide you no longer want them.