You have TWO folders: One for various soundfonts, proprly the ones you are talking about here, but also the important default soundfont, that will be used every time you import a midi-file (best option is general-MIDI, find it in useful-resourses)
The common soundfonts however must be in a subdirectory of the Samples-folder:
Default LMMS will create a path :
C:\Users\<username>\Documents\lmms\samples\soundfonts\
That is where default LMMS expect to find your assorted sound-fonts