The documentation for the importer says:

"The SDK documentation contains more details about how importer plug-ins work and how you can create them yourself to create importers for other data, e.g. xml file based data."

In the SDK, I see plenty of documentation for templates and type converters, but nothing for importers.

Am I missing something?

No you're not missing something, the documentation refers to docs in the SDK we didn't include. We initially had planned for including documentation how to write an importer but it turned out to be a lot of work for something that would likely be used very rarely.

We ship the importers we included in the designer as sourcecode with comments which should get people started if they ever want to build an importer plugin. the llblgen pro project importer is likely the wisest choice to look at if you want to build one.

In general it uses 2 phases, phase 1 and phase 2. Phase 1 is for collecting the data that's potentially there so the user can select which data to import. Phase 2 is for collecting the data to import based on the user's selection.