When you get to the download/import screen that looks like this:
Enter something unique to that import(you cannot leave spaces hence the "_" marks)
I used Grey_Knights_Only_v1p21
Then when you choose your game you will have two versions of Warhammer 40 000 5th Edition listed(in my example I have three, cause I keep the previous two versions due to testing), take note that on the right of the game system name in grey you will see the one that you made your own folder for. In my example the Red circle would be used for the Grey Knights, And the Yellow circle I would use for all other Space Marines.
Hope this gets you through! If not I will do my best to help walk you through it!
Then just click the change button (circled in red)