Not from external files, no. It's on the todo list. RG does
support sysex inlined in the MIDI file, as Dave Phillips suggested,
although there's no particularly useful way to edit them.
Whats the difficulty in implementing it in RG?
No particular difficulty, it just hasn't been done yet.
Here's the outstanding feature request, and I see it does actually
include a bit of information about how to hack the data from syx
files into sysex events in RG:
http://sourceforge.net/tracker/index.php?func=detail&aid=762186&gro…
Chris