@Apophis: --- You right : for the present version there is no importation Menu!
So
Current use for an OBJ object or an image PNG 256 colors
Just drag and drop your image or file.obj inside the screen of MagicaVoxel! ;)

That arrives in a "single" matrix ! (max 126 * 126 * 126 )

For a special use more advancedd you must use the Zarbuz plugin SchematicToVox : https://github.com/Zarbuz/SchematicToVox/releases
and use the Command Line of Windows
That permit to import more biggest result in several matrices in the same time! So super good!

For an obj file (with minimum parameters) you must first convert your file.obj in file.schematic
http://www.drububu.com/miscellaneous/voxelizer/index.html?out=vox or https://www.tinkercad.com/

then the Command Line (Logo Windows + R (in Windows 10) ( if images .png and .schematic file are present in the same folder than SchematicToVox.exe
for example
C:\Users\Pilou\Downloads\SchematicToVox-v1.3.1\SchematicToVox.exe --i objecta.schematic --o objecta (will gives you a file.vox)

For an image
C:\Users\Pilou\Downloads\SchematicToVox-v1.3.1\SchematicToVox.exe --i moni.png --o moni --hm 100 --color (will gives you a file.vox)

So at the end Open file .vox inside MagicaVoxel : can be a little long depending of files size!