Go to Load>Actions>Import and select the .syx file on the card or USB stick. The device will now ask where to save the patches after the import and starts processing them.
Every DX7 patch will create an individual patch on the device. Settings will be imported to Osc1 Kernel.
Maybe the routing will be changed so that Osc1 bypasses the filters and goes directly into the VCA. This can be changed manually in Filters>Routing.
Note that this will only work with OS 2.0 or higher installed.