I have to agree with others that it's strange this has not been in line with .net interactive and the usage of "#r" there. I think "#r" should at least be an option.
You say that importing other files is not how c# works, but I think that's not entirely true. If you now treat a file as a project then an import is pretty much a project reference just to a .cs file instead of a .csproj file.
So I'd love to see something like that working: #:reference ./Tools.cs
Which should be the same as a ProjectReference in csproj or for a "real" project something like this: #:reference ./Tools/Tools.csproj
That would also enable things like this in a csproj file: <ProjectReference Include="..\Tools\Helpers.cs" />
Referencing other projects is currently out of scope (and might always be, file based programs are intended to be simple), you can convert file based programs to full projects though to regain full functionality.