Suppose there are two classes, A and B, 1-N related. I've loaded A object and want to add some B objects to collections. Data for these objects is in database, i know ids of these objects. is there any way to add them to the collection without loading all of them from DB?

Not directly. You really only have a few options with collections. You can get them all, or you can define a static where clause that would be used to filter what gets put into the collection. This is great if you need something like "give me all the B's where last updated date was more than 60 days ago".

In most cases though you'll probably just need to execute some query to get whatever Bs you need.