First, you have to have an image in the correct size and format to be imported as a chipset. The chipset size needs to be 480 X 256 (width to height) and the file type needs to be PNG (no interlacing, if I'm not mistaken).
Then, you have to go into the import/export resources (under tools in the menu bar) and change the category in the left window to "chipsets."
Finally, you have to click the import button and find the chipset you wish to import on your computer's hard drive.