Save your MOTIF XF content on a USB stick that's compatible with MODX (download page has a compatibility list -- or just use any old one and hope it works)

On MODX

Insert the USB stick into MODX's "TO DEVICE" port.

1) Backup MODX if you don't want to lose anything (or do not if you don't have any data to lose). There are other resources for this.
2) Press [UTILITY]
3) Touchscreen (TS): "Content" -> "Load"
4) TS: Press/select the USB stick, find the X3A (or X3? file you're trying to install) - meaning if there are directories - then go to that directory.
5) TS: You can change "Library" to "User" if you want to load the content into the user area. Choose where you want the converted data to go.
6) TS: Bottom of screen should say "Voice" or "Performance" where you can choose which kind of data you want to convert. Pick one.
7) Touch the X3A or X3? file you want to convert and answer any questions appropriately to make the process start.

EDIT:

This thread is highly related - just for MOXF instead Motif XF -- the process is the same with exception of the file extension.
https://www.yamahasynth.com/ask-a-question/performance-import