You can import one or more pz3 files into an open Poser document; from the menu bar, File > Import > Poser Document/Prop.  I would recommend that all the lights be deleted from all but one of the pz3 files.

Quote - I have 2 pz3 files, one with a character fully customized and clothed and hair and everything...

Whilst you can import a pz3, it's not the way I would go about things. Pz3 files are "scene" files, they are good for saving entire scenes, they are not an efficient way of saving or loading characters by themselves.

You could save your fully customized character, with clothing, hair, parented props, et al, to the figures library palette, that's what it is there for. It's then easy to add the character(s) to any scene, without any complications or messing around. When you add the character to the scene, use the double check maks, using the single check mark would replace any existing character, which is usually not what you want.