In case you haven't figured it out yet,
Inside the "Collections" folder you should create a new folder with the name of the "set" you want to create within Collections; for example "custom-blocks"
In that folder "custom-blocks" or whatever you called it you can place all .OBJ and .MTL files; make sure to restart AssetForge before checking if your models are available.
If they still do not appear you might wanna try both opening AssetForge with - and without Itch.io application.
Your custom blocks should be available now.
:)