When dealing with large datasets, do not start the import from the Neo4j browser, but instead use the Cypher-shell. On the command line, in $NEO_HOME/bin, run Cypher-shell and then type the Cypher query to call the import procedure:
You must know that it may not be possible to import several OSM files in the same graph. There is a bug at the moment of writing this book; it depends on file content. I managed to import several OSM files but not two serious OSM files. An exception is raised about non-unicity for two LegacyIndexProxy instances. Fortunately, it should be solved as you read these lines.