If you're using the add ons feature, it should be automatic.
If you're downloading a file of malts (or any ingredients, profiles or recipes), then simply open the file in BeerSmith (File > Open File).
Open Ingredients > Grain
Copy and paste the list of new malts to the Grains list.
Close the windows. BeerSmith will ask if you want to save the external file. Since you've saved it to the Grains list, you can click "no".