Hello,
there are 2 obj formats (wavefront obj -this is model, and esenthel obj, - this is object)

wavefront obj can be imported only in mesh editor, saved as mesh
then can be created esenthel obj which uses this mesh.

The .obj files used by world editor are not the same as Wavefront object files...
The Esenthel .obj file contains a referece to the .mesh, the .phys, and other parameters used by the engine.

To create an Esenthel .obj file from your wavefront .obj, you will first need to convert your Wavefront .obj into an Esenthel .mesh file ( see documentation on Mesh Editor for that step)

Second, in World Editor... go to object mode, and create a new object... set the mesh to your newly created mesh file ( and set the .phys if you want collision on your object)... save this Esenthel obj file... and you can now import that into your world.

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( oops! didnt see that Esenthel already replied!)

Would the mesh file format be the same as an OGRE mesh? The translation from the obj file didn't come out very good. In your opinion, which file format gets the best translation?

Thanks again.

.mesh is EE mesh format

best format for importing is collada .dae, but you can try also other (like ASE)
sometimes you just need to do some material adjustments after importing, in the mesh editor material editor