I'm kinda rusty, but here goes:
Pretty sure there was a plugin for earlier versions of Maya - remember fooling around with a homemade .bat in order to get Maya to launch with the stuff I wanted.
Alternative is to convert them using another program (Blender?) or a decompiler like mdldecompiler
Edit: Just as I hit "Submit" I remembered

SFM -> mdldecompiler (mdl to smd) -> Maya with smd plugin. I hope things have gotten easier in the later versions.