I just don't get it how to import series, seasons and episodes.
Perhaps you have so, but the first step is to download the series,
including episodes. You may, but don't have to download the episode data at the same time. All you need are properly numbered episode records for each of the video files you have on hand.
Do they have to be in a special format (naming)?
Yes. Like any file added via the scanner, the files must be named in a consistent manner, and there must be one or more regex in the configuration that match that pattern. If your episodes are named
Series Name S00E00.xxx, you should have no problem.