It should only do that the first time. If (or, more likely, when) you update StepMania, it will probably re-catalog them again. There's a cache folder where it keeps track of your songs, and if they've changed, reloads just the ones that have changed. It'll load MUCH faster as long as things don't change. When you add more songs, it'll load those slowly (just the first time, though).
Hope that helps!
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