What do you mean by "import".
If it is a daz asset, follow the link given by Frank21 or install DIM (Install Manager available in your product library on your daz account).
Otherwise, it largely depends on the original application. DS has some import filters from other applications (dae, fbx, etc) that work ... from time to time and they are located in File>import
The most reliable import is from 'obj' files, and it is also available in the import menu but you must know the original application to set the obj scale.
You import something in a scene. If you want to save it for a later use, select it and use file>save as... and select any location on your file system. Most objects can be saved as a "scene subset". You can also save as a "support asset" and it may be better depending on what you want.