The easiest way to play import games on a Saturn is via an adaptor that plugs into the cartridge slot behind the CD Drive. Ideally, look to get one that is a memory cartridge as well as allowing imports to be played. This will help you play about 95% of import games.

There are some games that require a 1MB or 4MB memory expansion cartridge for them to work - obviously if you've filled the slot with an Import Adaptor cart you're going to come across problems. Fortunately you can also get 4 in 1s that also include the memory expansion - this will generally help you with those games.