HFSS and FEKO use several common file format for export/import model geometry, in particular, ACIS SAT Files (*.sat), AutoCAD DXF Files (*.dxf), Catia V4 Files (*.model), ets. Please look at the export / import formats of both programs and try to use common ones for model conversion.
Yes you can, FEKO accepts all the following files : FEMAP neutral, ASCII format, NASTRAN, AutoCAD DXF, NEC model, CONCEPT geometry, STL, PATRAN neutral, ANSYS CDB, ABAQUS.
To do just go on the construct tab, in the Import group, click the Import (IN) icon, and import your file, there will be some parameters that you should specify....done !