Importing them unfortunately usually creates really dirty, messy models with way too many triangles and lots of broken faces. You will probably spend as much time fixing the model as you will modifying it.
You won't be able to just double-click or drag-n-drop the file into sketchup, either. You have to go to file>import. Then select the STL importer in the "files of type:" drop down box. You will also want to define your units in the "options" menu on the right.