Well, if they're in the correct format (.mdx I think) just open up WE and go to the Import Manager (F12). Then go to File -> Import Files and select the model.
Once you've imported it, you'll have a new option when setting an object's model to use the imported model.
Both mdx and mdl work. It just that a mdl is uncompressed and take lot of space. Suggest importing a mdx.
after the model is imported, no need to set a path for most of the model, simply go to the object editor, select the unit, go in model, then you will see the normal list but you wont find your model there, just below the normal list is the custom model list, select your model from the list and its will convert by itself your mdx to mdl.