Well, I think it goes something like this...

Export the figure and make sure you keep all the internal names.  Edit the figure in ZBrush. If the morphs are going to be Full Body Morphs, (ie - if the morphing affects more than one body part, you need to be able to export each body part as a seperate obj.  If it is only one body part you want to morph, like the head for example, just export the head of the figure from Poser, bring that into Zbrush and work on it alone.

Then in Poser put Simon in the workspace and select each body part of the figure and  (Don't use the File/Import/ obj menu) Use the  the "Object" menu, select "Load Morph Target"  find the correct obj you created that relates to that body part, do this with all the body parts affected, then set them all to 1 and go to the figure menu and select "Create Full Body Morph". 

Don't delete the original figure, re-save it as a new figure after you have loaded all the morphs and created the full body morph.

Hey! His nose is dry! ... Someone should lick it,  just in case. - Diego