There are some articles about 3D in the FAQ: (Start Here) Frequently Asked Questions. Read them and see if you can get started, then ask more specific questions here.
Each footprint can have 3D model(s) associated with it. You can set it in the footprint Properties. You choose the file location yourself. I recommend setting a path variable to the folder where your own 3D models are and using the path variable when adding a 3D model to a footprint. You can look into the KiCad standard library footprints and 3D models to see how they are done.