Hi Seamus. Welcome to SL.
As others have stated, SL does not import external 3D meshes. Everything you see inworld was built inworld, including all avatars. That in no way means you can't make Klingons though. I've done plenty. Here's an old pic of two I did a while back (but never quite finished), maybe a year and a half ago. You may recognize the one on the right. (Sorry for the small pic, by the way. It's quite old, and I'm not able to get inworld right now to take any better ones.)

Making convincing character avatars takes a lot of time. There's no way around that. For realstic Klingons it's about 90% good, solid texturing, and 10% slider settings. For other types of characters, it can be the other way around. The face on my Seven of Nine avatar, for example, has pretty minimal texturing and only began to really look like her after 3 continuous hours of tweaking the sliders. (Don't get me started on how long the outfit took. It's been 2 years, and I still don't have it quite how I want it.)

Anyway, back to the Klingons. One additional thing besides just the sliders and the texturing that you might want to play with is the bump_head_base.tga file in your SecondLife\character folder on your hard drive. Repainting that map will change where the highs and lows are on the head. There are advantages and disadvantages in doing this, just so you know. The advantage is you can make your ridges "real" instead of just color-painted onto the flat forehead surface. (I put "real" in quotes since it's arguable whether bump mapping can or should be considered as real as actual geometry. It is just an illusion, afterall.) The disadvantages are that people will need to have avatar bumping turned on in their graphic preferences in order to see it (not everyone does), and that the ridges will be permanent as long as the altered file remains in your character folder. So, if you want to be a human again tomorrow instead of a Klingon, you'll need to change the file back or your human av will have ridges too. I'd only alter the file if you're sure the Klingon will be your permanent av.
For slider settings, obviously you want to go as forehead-heavy as possible to start. After that, it's just a question of what type of face you're going for. For my Worf av, for example, all the settings had to be pretty high. Michael Dorn has a huge face. For someone like Gowron on the other hand, you'd want to go with really minimal settings for most of the face sliders. Gowron, as the leader of the Klingons, the "ultimate klingon" if you will, was modeled by the Trek art directors to be pretty exaggerated, even by alien standards. Robert O'Reilly's facial features, though well defined, are pretty compact and centered, making his eyes and head appear unusualy large by proportion. That allowed the makeup artists to really go nuts and make his Klingon head parts gargantuan. Put all that together and you've got the most believable Klingon in all of Trek. Nothing about this guy says "human in a rubber suit". In any case, once again, making it convincing in SL, even for just a generic nameless Klingon, let alone a specific character, will take many hours of very careful texture work, and a ton of slider tweaking to pull it off well.
What you'll end up with in the end if you do it right is something "pretty good". It won't be anywhere near cinematic quality, but you can do it better than most video games do it. Take something like Elite Force, for example. If you stop and look at their Klingons critically, they're really awful. However, within the context of the game, they are certainly convincing enough for you're brain to go "oh, Klingons". So, do the same for SL. Make your Klingon the best and most convincing it can be within the context of SL, even if it's not the greatest Klingon in the history of 3D modeling in general.
Remember, SL, though not a game, does operate like one in the sense that it's a real time 3D application. Just as characters within games never look as good as their counterparts in the in-game cinematics, characters in SL won't look perfect either. Because you are in control though, you can certainly do it better than most game artists (who often aren't allowed to do things as high quality as they'd like), but again, you must keep in mind that all you can ever really do for SL is a "pretty good" approximation of what you're going for, something that works within the context of SL, not something that's gonna be the be-all-end-all of 3D.
I hope that makes sense. The real trick here is to accept that you must operate within the confines of the system, and to challenge yourself to push the boundaries of the system by making the best possible artwork anyone can within those confines.
Good luck with it. I'd love to see what you come up with when you're done.