D-7,
You can't 'import' a pit, as though it is an entity or object of its own. A pit is just where the floor is not. You need to mod or replace the floor:
1. If you use 3dsMax, then you can make your own, and export it.
2. If you work in the gmf file then you need to shrink the existing floor and then add a couple more cube geomobjects, and arrange them to 'leave a gap' for the pit between them. (Skinning with more than one geomobject for the floor is not easy unless the floor is a plain design).
3. You could look for an arena that already has a pitted floor and import that with all it's peripheral trappings..