Wall Worm currently has several importers :
VMF Importer: Below is a screen shot of a VMF imported from Dear Esther with complete geometry and entities. It supports brush geometry, displacements, entities, visgroups and materials.
Map Importer: Below is a screen shot of a level imported from a Goldsrource map file.
SMD, VTA and QC Importer: Import standalone SMD or VTA files; Import entire models with QC files, including animations, hulls, LODs, settings, etc.
Materials: You can import an entire library with the Material Library Generator or individual materials with the VMT Importer.
DXF importer which only automates some of the steps necessary to make an imported DXF scene compatible with re-exporting with the VMF Exporter. You should probably use the VMF importer instead if you have an option.
VTF Importer: You can now view VTF files natively insise 3ds Max 2012-2015 if you have the Wall Worm Pro installed.
When reopening a scene the models can appear as cubes if the game settings do not include paths to the source MDL files.
This document explains why models can appear as cubes instead of props when importing VMF or MDL nodes.