This is more of a workaround for MachFive inadequacies but works very well in OS10.3.X
1) drag the file out of the window that you are in.
2) Press F9 on the keyboard to show all programs currently running and select the Pro Tools session. This will cause Pro Tools and MachFive to reappear.
3) While still holding the button on the mouse, hover over the desired key on the virtual keyboard in MachFive, and drop the file to import it.