Yeah, just convert it to .X
Also, to make it an actual entity that you can select and place in-game, download the program called MakeEntitiesFromXFiles from the "Downloads" section of the FPSC site (
www.fpscreator.com) In that you just pretty much select what texture you want applied to the model, the name of the model, the material the model is made of (stone, wood, metal etc...)
It's quick and simple to use, takes about 2 minutes (literally) to set up the .X model as an entity.
When you download the MakeEntitiesFromXFiles, it comes with a few video tutorials which explain really well how to use it.
Best of luck.