Easy:
Start up Bryce. Hit Ctrl+M to enter the Materials Lab.
At the Material Preview Box (top left) click the small arrow on the right > which points right.
This will bring you to the Material Library.
Click on the Planes and Terrains Library (up to you where you want it though) then Click
the word Import below...find the *.mat file and click Open.
It will be added in the next available preview box.

To add a sky (bsk) go back to the main Bryce screen.
Click Ctrl+K (Sky Lab) then the similar arrow to the right of the Sky preview.
Click Import at the bottom and find the *.bsk file.
Click Open and it will be added to your Sky Presets.

To Export, simply select an item from the presets (use Ctrl+Left click to select multiple) and
hit the word Export at the bottom. Save wherever convenient.