I think that import of many files to your Mathematica Kernel (if it is not necessary) is not good idea.
Better way is import one file and do something (preprocessing) and store result. After then clear data and import next file. For my advice I recommand you use $HistoryLength=0;
If you would like only correct your code then solution is there:
Data =
Table[
Import["C:\\Dropbox\\Sims\\datafile." <>
ToString[NumberForm[j, {6, 4}]] <> ".out", "Data"],
{j, 20,30,0.1}]
