For skins and cars, do not active the "Make model as a single unit model" checkbox. This option will connect separate and loose parts together. This option is only suitable for objects.

Remember: You cannot directly import a converted dff file into GTA SA, because the converted dff file does not contain bone data.
You will almost always need 3D softwares like Blender or 3ds Max or ZModler2 to complete the process and create the final skin or vehicle.
You can only use direct import for objects that do not contain bones.