Tools > Import External Data and select the importer from the list and follow the instructions.
Just a note about redirections; although there is code to support redirections in XFMG 1.x this won’t function after upgrading to XF/MG 2.x.
If redirecting the existing URLs is important then you should choose the option to “Retain content IDs” when setting up the importer and you may have to implement server side redirects yourself. It’s possible you might be able to do it with Route Filters but I’d have to be reminded about the XFR Albums URL format to be sure.