No. But there is a way you can automatically add the characters when SRB2 starts.
Make a text file, and enter the following into it:
addfile (name of the wad you want to add)
addfile (name of another wad you want to add)
addfile (name of yet another wad you may wish to add)
Rename this file "autoexec.cfg". This is a script that will automatically run when SRB2 starts.
However, it will prevent you from joining netgames, since you cannot join netgames with wads loaded.
So, if you netgame frequently, name the file something else. Anything you want. AddWads.txt, Wadstoadd.cfg, or even Clowncar.lol. It doesn't really matter. But make it easy to remember.
Then, you can add all of your wads at your whim by opening the console ('~' key. It's to the left of your '1' key) and typing "exec AddWads.txt", or whatever else you named your script file.
Hope that helps.