This should work!
Ok i dont know how to do the first step but i know that all skins ie usewd like it work...
1: make an .mdx ver of the file.
2: import the mdx and dont worry about the path.
3: open up the object editor and find furion (units, NE, Campaign, heros)
4: find the thing titled "Art - Model File" double click it.
5: click the "import" bullet and find the skin. should be the only one unless you are using others.
6: press "ok" exit the object editor and place the furion unit somewhere on the map.
7: save the map and then if you have to (if the change dont show) restart WE.
If that dont work im sorry but i cant help you any more than that.
Good Luck!