First of all, let's consider why you might want to do this at all. I think a typical situation might be where your customer insists on a TTX file as the deliverable translation. Another case might be where the files to be translated need to be pre-processed with TagEditor to reduce import time (like when MS Word files are heavily laden with graphics). I often use TagEditor to pre-process jobs I translate with Déjà Vu, and while MemoQ's import capabilities are generally better than those of DVX (and MemoQ sometimes handles files that TagEditor can't), sometimes everything just runs faster and better if I make a TTX to import into MemoQ.
You can argue about TMX compatibility with the customer all you like, but in many cases too much leverage is lost for future work if you deliver anything except a properly translated TTX file. So don't argue, just do it. In most cases you will want to pre-segment the file. The procedure for doing this is described in Steps 0 & 1 of the Trados TTX in DVX instructions previously mentioned. If you do not have access to a Trados license to use a TM provided and get the best leverage, you should ask your client or a colleague with a Trados license to assist you in the presegmentation (the latter only if the client's confidentiality rules permit).
When you are ready to import the TTX file into MemoQ, there are two options in the Project Wizard or in the Project Manager window: "Add document" and "Add document as...". The former is an import routine that simply brings in the segmented content. The second option opens the document import settings window (click for an enlarged view):