Working with MIDI imports
One aspect of importing midi-files, that need to be adressed first, is the fact that it is in a sf2 player-track that you will actually import the midi-file notes! The SF2 player If not for other reasons, then because of midi-import, you should insert a sf-player-path and have at least one sf2 instrument in that folder.
The GeneralUser Sf2 is recommended, because this soundfont will give you a playback that is quite close to that intended by the midi-composer. You can find links to GeneralUser in the Soundfonts section.
Import of Midi-file notes
Import of midi-notes take place from the File-menu
File | Import
Point to any midifile on your harddrive, and select it. Importing a midi can take a while, but it should be done in about one minute. If your import hangs at 66% loaded, then the midi-file is flawed, and it cant be imported. You can try to open the file in a midi-editing program, and save the midi as midi-one, but that is no guarantee, that it will be possible to import the notes to LMMS.
After the import, you can exchange any of the sf2 instrument to any kind of lmms presets, including VSTs! Almost all midi files have only one track for percussion. This is in most circumstances not satisfactory, so the percussion need to be remade, or cumbersomely copied from the piano-roll to single presets in B&B-editor. It is a very annoying job, and mostly doomed to fail, so for great percussion, expect to make that yourself, when you import midi. This is ofcause not a short-coming of lmms, but solely a midi-file issue.