My option is to create a folder -- I named mine 'Xara Colors' -- for .xar color files (such as Gary's) and import it into the Local Designs gallery (click 'Disc designs....', browse to the folder, and click 'Add' or 'Update' if you have added a new file to ).

If you want to import a color palette (such as the .pal file suggested by Christine), place the file in 'C:\Program Files\Xara\Xara Designer Pro X\15' or similar location depending on the app and version number. You will have to restart the program for the palette to show in the Color Gallery.