OBJ file format
To import materials with your OBJ files, make sure the MTL file is zipped in the same folder as the OBJ file. Then import the zipped folder as usual (check instructions for importing here).
Content of the compressed folder
Compressed folder ready to import
FBX file format
FBX files work a bit differently. The textures will need to be embedded into the file itself so make sure that's done before you import the FBX files to Gravity Sketch.