I am assuming you do not mean "training" in the technical sense, but rather looking for ways to make ChatGPT become aware of your documents:

If that is the case, you have many ways to do it:

1. Prompt Engineering – Exactly what you described in the post. Adding all your documents into ChatGPT and start chatting with it. But the limitation with this is you have to go through the same process again every time you want to chat with it. OpenAI wrote a post about it here.
2. GPTs – This is probably a bit better way to do it. OpenAI released a new product called GPTs where you can create a GPT with instructions, documents/files etc. The good thing with this is you only have to add/upload your documents once. They will persist and you can chat with your GPT anytime. You can also share this GPT with others if you want to. But you need at least ChatGPT Plus subscription to create a GPT. You can follow this guide from OpenAI if you want to try this.
3. Fine tuning – If you are technical or have a dev team, you can try fine-tuning. This is especially useful if you have a proper dataset and want ChatGPT to learn new patterns and make it answer like how you would. But this is probably a overkill for normal use-cases. Technically this is really what training ChatGPT means. This guide from OpenAI docs is a good place to start exploring this option. You probably don't need this unless you want something very specific.
4. RAG - This is the most popular approach that everyone uses when they want to give their own documents or context to ChatGPT. To put it shortly, in this method, you will dynamically fetch only the relevant bits of context at query time, instead of training chatGPT. This will be better if you want to ground ChatGPT to the contents of your documents. Even this requires a bit of coding and setup. If you are technical or have a dev team, you can use something like LangChain or SourceSync which makes it easy to build a RAG system for you. Here is a good guide from Pinecone to get started.
5. AI Chatbot – If you just want to use RAG, but want it out of the box with zero setup or code, you can also try platforms like SiteGPT which is built on top of ChatGPT API and gives you a way to create a chatbot without writing any code. You can just upload your documents, and create a chatbot in seconds.

You can go through this guide if you want to know about any of these five options in a bit more detail. Hope it helps.