Importing Character models
From your 3D software, export an FBX of your character model. Or if your 3D software is supported, you can save in the 3D file's format (ie: .blend if using Blender). Save this file somewhere in your Unity project's Assets folder. I tend to use something like Assets\Imported Files\ and have sub folders to group things (characters, stages etc), but use whatever folder structure suits you.
In Unity in your Project view, go to the location you saved the file, click on it and look at the Inspector. Normally, you'd need to adjust the Scale Factor, but we can worry about that later.
Click on Rig tab, and ensure it's either Legacy or Humanoid (Mecanim) animation type. Use Legacy if your animations are using the old Unity animation system; otherwise use Humanoid. If you get a cross (x) next to Configure button, then your rig is not Mecanim compatible. Go back to your 3D package and create a rig that is Mecanim compatible. Google to find out how, it's well beyond the scope here .
Click Apply and you're done importing.
Creating Character Prefab for UFE
The Hitboxes Tutorial goes through this, but here's a text version.
Drag the FBX/imported 3D file from your saved location in the Project view to the Hierarchy view. You should see your character in your Scene view as well.
Click on it in the Hierarchy, and in the Inspector click Add Component button. Type Hitbox, and you should see the HitboxesScript come up. Select it to add the Hitbox Script to the character game object.
To create a prefab of the character, drag it from the Hierarchy back into the Project view somewhere (I use Assets\<MyGameName>\Character Prefabs\ just to keep things organised). The game object in your Hierarchy will now be blue to signify it is associated with a prefab (the Inspector also has 3 new buttons related to this). You can delete the Hierarchy version now, as we only need the one you created in the Project view.
NOTE: New Unity users may be confused by the prefab process. It feels somewhat redundant. But once you understand what it's capable of doing and why you need to do it this way, it makes sense and you won't look back. If it feels like you're bouncing between the project and hierarchy too much because of this, but you'll get used to it soon enough.
Lastly, I recommend grabbing a free rigged character from Mixamo to test importing with. They're already rigged and ready for action, and since it's Mecanim compatible, you can easily swap them into existing Mecanim UFE characters (Kyle and Joan) and they'll just work.