A family member sent me a file containing their research. I'd like to bring that data into my tree, but I can't find a way to tell what facts and data came from that file. Is it possible to add a citation to each fact when merged/imported from another file? I've seen this feature in other genealogy software, but I don't see an option for it in FTM 2012.

FTM doesn't support this. If you have some knowledge of scripting (or know anyone with some computer programming ability [doesn't have to be advanced] it's fairly easy to modify a GEDCOM file so that when it's imported into your tree the source information is indicated as you want.