Hi, Welcome to the Forum bishnupanikar !
Here are all important links:
http://lmms.io/forum/viewtopic.php?f=1&t=4740
-A few rules and useful forum instructions
If they are of type sf2, you use the inbuild SF2-player:sounfont :: where to put them?
Read
https://lmms.io/wiki/index.php?title=SF2_Player
If the are a different formate, you need a VST-sf-player, but then everything depends on your OS
Let us know