Thanks Jindong, I was reading through that tutorial, however is it possible to do something like:

def get_data(path):
    df = pd.read_csv(path)
    return df.as_matrix 

data_sets = datasets.DatasetFolder(path_to_datasets, 
                                   loader=get_data, extensions=['.csv'])
train_loader = torch.utils.data.DataLoader(data_sets,
                                          batch_size=32,
                                          shuffle=False,
                                          num_workers=4)

to read from all .csv files in the folder and train the model? (this gives an error, telling me data_sets is a method, but is anything along these line possible?).