To import most of the help files into your wiki, export the files using the export page. In the "Add pages from category" box, add one at a time (there is no need to export between adds):
Both of them combined may time-out the import mechanism (see: large import information) so it may be necessary to export the pages in two or three chunks to make it upload without editing server settings. Then within your own wiki visit your Special:Import page and upload the xml export.
To import other pages, either export the pages individually by name, or find the category (all the way at the end of the article) that is most accurate to the reason you want to export the page. This will help you collect the pages that you need quickly, while limiting the number of pages added that you don't need.