Use the asset manager to convert the fbx to a mesh using the "prepare folder for skyline" option.
This will add it to the resources, convert fbx to mesh, then convert textures to DDS and auto create your materials for you.
Then all you have to do is drag the mesh to the scene.
Also, it is wise to only prepare the folders you need to convert. So a parent folder on All Characters would be a bad idea, whereas converting on each character folder would be a good idea.

Hope this helps
