Hi,
Because I don't want to start a blog ... and because I'm extremely lazy (good for my clients because I don't waste their time/money).
If anyone is looking for a solution to import option sets, there is a very easy way, but at least currently in CRM 2016 online, you need to trick the system to make it work.
1) Create an optionset field in the entity you want
2) Go to advanced find and export a simple list from the entity where the new optionset was created. Doesn't matter which columns.
3) In the exported list, add a NEW COLUMN, with a title that does NOT match an existing field in your CRM.
4) In the new column, add all the options for your option set. In the other columns, just add random something which you easily find afterwards in the system to delete. Save the file.
5) Go to settings - data management - import & import your file
6) Because the column is new, the system will give you the ability to map it to an existing field. Here you select the optionset field you initially created. It will show all your option set values nicely below one another. Click ok & go.
7) If you have a lot items in your optionset (like all ISO countries), you may see this for a long time:
" Creating custom record types and fields in Microsoft Dynamics CRM..."
... and then get the following error:
