It looks like you cannot do this via the standard sobject insertion or via the tooling api. I found this article [1] which states:
Currently the platform extends the fact that the SObject record itself cannot be natively inserted, to the fields themselves, and thus they are marked in the schema as read only.
This leads me to believe that is why you cannot insert them via the dataloader. When I try to insert one via jsforce [2] I get the following error
CANNOT_INSERT_UPDATE_ACTIVATE_ENTITY: entity type cannot be inserted: Custom Metadata
Hate to be the bearer of bad news. Hopefully they'll relax / fix some of these restrictions with upcoming updates to the platform.
You might want to check out Haripriya Murthy's Custom Metadata Loader (https://github.com/haripriyamurthy/CustomMetadataLoader). It's a tool, written on the Force.com platform, and will import custom metadata records from a csv file into your org.
I tried to use dataloader to create the records into Custom Metadatype but the Custom Meta Data type which i created is not listed in it.
This leads me to believe that is why you cannot insert them via the dataloader. When I try to insert one via jsforce [2] I get the following error
Hate to be the bearer of bad news. Hopefully they'll relax / fix some of these restrictions with upcoming updates to the platform.
[1] http://andyinthecloud.com/2015/06/28/custom-metadata-custom-uis-packaging-and-change-sets/