extremely late but for anyone else wondering:
If you were talking about models or groups, you can't bring those into the game
If you're talking about a mesh, then i believe that you can upload the mesh to roblox (find the mesh in workspace in studio, right click and should be a option to upload to roblox)
go to the meshes roblox page through studio or the "meshes" tab under "my creations" in the create menu
their should be the mesh's id (the string of numbers at the url bar) that you copy and paste into the mesh tool in f3x, use the file option and the mesh should appear