I am about to use ‘ColorFabb PLA High Speed Pro’ filament.
This type of filament is not available as a selectable profile in Bambu Studio.
What is the proper way to add it, and have it available to select for any print job?
I do these things outside the official Bambu ‘suggestion range’ but feel free to try…
In the filament section click on the cog wheel and from there you can create a new filament.
In your case I would name the new filament just ColorFabb PLA.
Set all the values you have from the manufacturer and fill in the blanks if present.
Do not set a colour or add a colour in the profile name 
Once done do the normal and complete calibration.
Pay attention to the results and make sure you won’t save a NEW profile with the ending ‘calibrated’ or such - stick with the same single profile you created.
For the k-factor save the value in a file that includes the value, E.g. Colorfabb PLA 0.15.
Doing it in this twisted fashion provides a few perks.
You can set the colour in Studio as needed, same for the AMS section.
But because there is no colour linked to your profile directly it stays flexible here.
Meaning you can run out of green PLA and without doing anything replace the empty spool with red PLA - neither the AMS nor Studio will know nor care.
I note the k-factor and if different nozzle temp on my rolls but keep adding the different k-factors during the calibrations of other colours if different to already existing values.
Gives a nice k-factor list to choose from and if you deal with a lot of filaments can save a lot of time on these calibration runs (if you know how the k-factors work).
For other filament types, like matte or silk it does make sense to give them a dedicated filament profile as often these comes with added challenges for the printing if you want the best results.
Instead of ending with an endless list of custom filament profiles you only get a very few that won’t cause later confusion.
Just my personal preference though and as said a bit away from how Bambu wants you to do it.