If you are doing this with 5.07 as you say you are in post #3 it's just the same as importing the bin file but instead of selecting bin you select zip.
So from the Index Song Files tab you select kma as the type of import then for Karaoke select Zip instead of bin as you have been doing.
The instructions are shown in the left hand panel.
These will import just the same as when you imported your bin files so will create another file about the same size as the original that would not be needed anymore and could be deleted if you wanted to recover some hard drive space. This would just save you the bother of converting your files to bin files.
The other alternative and the way I would do it is to import as kmh types.
You will find that you cant import Bin files as kmh but you can the zip files.
So to do this first select KMH as type then zip for karaoke, then it imports just the same way. The difference with this method is it creates a small header file with exactly the same name as the original except it will have a kmh extension which has to remain in the same folder as the original zip, you must not delete the original zip. This way you always have the original file but use a minimal amount of extra hard drive space, also these files are still available to use in other software should you need to.
You could view my video on importing Hard drive files here:
http://www.youtube.com/watch?v=jjf7fxEK5wk
The main part relating to what you are doing is about 4min 50 sec from the start if you want to fast forward to that part.