Hi,
first of all, OpenXcom can import only Geoscape saves, not Battlescape saves.
The saves from GOG version are in a form of a folder containing many files. Folders are called "GAME_1", "GAME_2" and so on until "GAME_10".
You need to take the whole folder and copy it to the folder where OpenXcom has its saves, see attached screenshot.
After that, start OpenXcom, click on "Original X-Com" button and you should see your GOG saves.
Good luck.