How to import custom fields
Custom Fields are complex and can be used for a variety of things. Having a wizard that will automatically create custom fields from the first line of the import file is not a good idea, at least for most non-expert users.

In your original/unedited question you asked if someone could create the wizard. You are welcome to do that, or commission an extension (by Core-Team or a Partner/Contributor) if you think it will be used.