Hi,
There are two main ways to import.
1. You have other ie vixen , LSP etc sequences that you want in xlights. They are done and at most u may add a few new modles or change a bit. In which case import as a data layer. You can't edit what you have imported , but it is easy do do and very efficient.
2. You wq t to get them into native xlights and change and fiddle with the effects.
Then u can import effects , but u do a model at a time though u can select several models to import.
I imported al my LSP sequnces as data layers. Then for the same seq, for new models , I have done those effects in xlights via the sequencer.
Search for an LSP post by mrchristmas2000 describing step by step how to use the data layer import.