Then please tell me the correct way!

Window/PythonScripts/Utility Funcs/UnCompressFiles

This will uncompress your obj files for your figures. Once that's done go grab them, they are either in the geometries folder or the libraries/character folder. The figure obj's are in a zero pose and centered on stage...so don't move them.
Model around them or sculpt directly ontop of them in Zbrush.

missy woot!