This is the correct procedure. You are not missing any steps.
1. Run the Sitefinity.exe file.
2. Select import a project .
3. Import your project using Add project .xml file or Open from the project folder.
4. Select the project after it is imported and click Actions -> Upgrade.
5. Build your project, deploy it and run it.
Do you want to have your say in the Sitefinity development roadmap? Do you want to know when a feature you requested is added or when a bug fixed? Explore the Telerik Public Issue Tracking
system and vote to affect the priority of the items