import arcpy
import os,sys

saveFeatureFold = 'F:\\data\\data.gdb\\myData\\'#you must create the gdb first and define the project you like
featureFold = 'F:\\dealWithData\\
for file in os.listdir(featureFold ):
    if file.endswith('.shp'):
        fileName = featureFold +file
        saveName = saveFeatureFold +file
        arcpy.CopyFeatures_management(fileName,saveName )#so the project is you want to be