You don't absolutely have to have the OBJ file in RuntiemGeoemtries, but if you don't (or if it isn't made to Poser scale) then you won't be able to export a cr2 you can share with others. If you want to do that, it is simply a matter of putting the OBJ in RuntimeGoemetriessomefolder before importing it into Skeleton Setup.

As for your helicopterish thing, you'd want to assign everything you want to move to a separate group - in Hexagon cut it to a new layer, if it isn't already on one, and name it to reflect what it is. Then import that OBJ into Skeleton Setup  by right-clicking in the  top-right panel (or if you modelled to Hexagon scale, import the OBJ into DS using the Hexagon preset, then export using the Poser preset but before clicking Accept make sure "Use existing groups" is selected and then import that into Skeleton Setup). In Skeleton Setup drag the importted OBJ from the top-right panel to top left and rearange the hierarchy by dragging and dropping. You probably don't want any welds on, but you may need to change some rotation orders (the rotors would be yxz or yzx, for instance). Once done, create the figure 9from the palette's option menu - triangle button at top-right). Now, for a mechanical object you probably aren't going to want any parts to deform as they bend, so seelct all the bones of your new figure and in the parameter palette tirn Bend off. Then it's just a question of using the Joint editor tool to put the origins and end points where you want them, clicking Align to snap the rotation axis to them for things you don't want spinning about one of the orthogonal axes, and then using the Parameter palette to sel limits and hide unneeded parameters by double-clicking the parameter label.