You can load complete sample patches as well as individual samples into the NN-XT.
A patch is a complete "sound package". It contains information about all the samples used, assigned key zones, associated panel settings etc. Loading a sample patch is done by using the patch browser on the main panel, and works in the same way as with any other Reason device.
For general instructions on how to load and save patches, please consult the chapter "Working with Patches" in the Getting Started book.
Loading separate samples is done in a similar way, but via the sample browser on the remote editor panel. If you load samples, map them across keyboard ranges and set up the sound the way you want it, you can save your settings as a Patch for easy access later.