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.
EXAMPLE:
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.
A Browse dialog will open, choose where you want to save the preset(s).
Save wherever convenient for you.