In ArcMap, load the external data (shapefile, feature class, AutoCad file) and the geodatabase feature class into which you wish to import the data.
Start an edit session.
Using the ESRI edit select tool, select the features from the external you wish to have imported into the geodatabase.
On the keyboard, press and hold Ctrl + C (Copy function).
On the ESRI Editor toolbar, verify that the task is "Create New Feature" and the Target is equal to the feature class into which you wish to paste the features.
On your keyboard, press and hold Ctrl + V (Paste function).
The features should now appear in the target feature class.
In order for the features to get added to the desktop application, you must populate the required fields for that feature class.