I've never messed with importing a skeleton, only static objects.
The .nif's can be anywhere. I place them in the blender directory only to keep a record - so to speak (and easy access). Once I import the .nif (File -> Import -> Gamebyro), I save it as a .blend file (blenders native file type: File -> Save as). That way I can just open the blend from then on and get to work, I don't have to import the .nif again.
So you'll probably have to import the body .nif and then save it as a .blend (unless you enjoy importing the nif and starting over every time
).