The NN-XT can import various types of samples:
These have the extension ".wav". This is the standard audio file format for the PC platform. Any audio or sample editor, regardless of platform, can read and create audio files in Wave format. Any sample rate and practically any bit resolution is supported.
These have the extension ".aif" and this is the standard audio file format for the Mac platform. Again, any audio editor can read and create audio files in this format. Any sample rate and practically any bit resolution is supported.
This is a standardized data format containing wavetable synthesized audio and information on how it should be played back in wavetable synthesizers - typically on audio cards. SoundFont banks are hierarchically organized into different categories: User Samples, Instruments, Presets etc. The NN-XT lets you load single samples from within a Soundfont bank.
A slice is a snippet of sound in a REX File. To import a REX slice, browse to a REX file and open it as if it was a folder. The browser will then display the slices as files inside that "folder".
If you want files to play back with their original bit depth - if higher than 16-bits - make sure to activate "Use High Resolution Samples" on the General page in the Preferences dialog. Otherwise, samples will be played back as 16-bit files in NN-XT regardless of their original bit depth.