When you make a figure for the first time, there is no "New Figures" folder in the native Poser 12 library until after you close the program and restart the program again. After saving the first new figure and restarting the program you'll have a New Figures folder that you didn't have before.

I didn't know that and I almost junked the whole program over it. I thought the program was broken because I couldn't find the folder. I uninstalled the program and reloaded it, got really mad even.

Import the .obj and convert the hierarchy file and save the figure then close the whole program down. When you restart it again, your first new figure will be in a newly created "New Figures" folder. It's the way Poser 12 is made. I hope this helps save somebody else some aggravation and anxiety.