Put the model in your project's assets-folder. You can either do this manually through copying it to the folder, dragging and dropping the model from the folder to the Project view or right-clicking the Project view and choose "Import New Asset...".

Read more about the Asset Workflow and the How to.

The supported formats at the time being are:

Maya .mb & .ma1          
3D Studio Max .max1          
Cheetah 3D .jas1          
Cinema 4D .c4d1 3          
Blender .blend1          
modo .lxo2          
Autodesk FBX          
COLLADA          
Carrara1          
Lightwave1          
XSI 5.x1          
SketchUp Pro1          
Wings 3D1          
3D Studio .3ds          
Wavefront .obj          
Drawing Interchange Files .dxf