sunstorm87,
The SH4 models are in a proprietary format (nearly the same as in SH3). However, this format was decoded by us, modders (I am actually the person who made the first clone of the SH3 model by hand and imported the very first third party 3D model to SH3
Those were exciting times). There is a program called S3D written by skwasjer which can import the .OBJ format models to the SH4 format but you better read the manual for the program how to do it properly.