The process is under Tools-Routines-Project-Update Budget Lines.
Pick a Cost Category ID to be added to projects, optionally add a default status for the new line and a default quantity for the new line.
Next select the appropriate projects on the left and insert them on the right with the center button.
You can even update project templates so that new projects get that cost category as well. Simply check the Update Templates box and insert templates from left to right as well.
Click process and you're done. There's no report that prints but you do get an update message when the process is complete. This new feature makes it simple to update cost categories to a large number of projects and it's about as easy as it can be.