When I "imported" Banjo-Kazooie to 1964 I started it, continued a game and made a save-state by pressing F5 (in PJ64), then I opened 1964 and imported the save state (you find it usually in your PJ64-saves-folder).
Note: I mean the *.pj save-states (it only works with them!) and sometimes (if you check that option) they are zipped.