Hi Dvido,
1) you can read in text files into VHDL descriptions using VHDL FILE IO.
With the text I/O in VHDL can can work with files like in a regular programming language. You can open and close multiple files, read lines, parse lines etc. For this you use the VHDL "file" data type.
The textio package which is available in the standard library includes several more features.
2) in case you want to initialize built in memories generated by the MegaWizard, you can also generate the memory contents by .hex or .mif files.
Hope this helps...