(For information on setting up LODs, see Create an LOD group.)
The FBX file containing your LODs is saved to the specified location.
For information on importing LODs to your game engine, refer to the game engine documentation. If you're using Autodesk Stingray, you can simply import the FBX file into the Asset Browser, then place the unit in a level. Look for the topic 'Import and test LODs using FBX' in the Stingray Help for more detailed information.