If it's just midi files, you need to import them into LMMS.
File / import / click the midi file.
"Computer games don't affect kids; I mean if Pac-Man affected us as kids, we'd all be running around in darkened rooms, munching magic pills and listening to repetitive electronic music." - Marcus Brigstocke
I downloaded a free midi pack. --- it has various chords as midi files and separate folder for each key.
It says it works with all DAWS.
I searched but could not find instructions on how to use with LMMS.
As GPS says, you import midi-files from file-menu, but in your case you will have to do that multiple times. You will perhaps get an issue where you cant set the tempi. If that happens right-click the BMP gadget, and remove global automation
Midi-packs with chords are kind of a 'scam', because you only ned to know any chord in any key, and then you can easily transskribe it to any scale
More on easy key chord and scale: