For KeyShot, the "Import NURBS" option mentioned above is under the Geometry section of the Import options dialog, it's shown around 30 seconds in on the video Pilou links to above. Here's a link to a bit larger displayed version of the video: https://www.youtube.com/watch?v=iZmrTkC-8ac
I mostly export OBJ to KeyShot. They render much faster and importantly, if exported from MoI correctly, allow for small fillets to be added to the geometry at render time, creating even more realistic renders.
