They way you would normally do it is to convert your feature set from whatever format you want, into Kaldi's ARK format.
Kaldi has two modes of reading ARK files: binary and text. To convert from one into another, simply use the copy-matrix program, eg:
copy-matrix ark:binary.ark ark,t:text.ark
(where binary.ark and text.ark are the corresponding files)
You should take a feature file generated by kaldi, convert it to text and see what it looks like. Then try to recreate the same format using your own features and either convert it into binary or read it as text in Kaldi.
To create a sample feature file, first create a simple SCP file with one wave file in it, eg:
Then process it with something like compute-mfcc:
compute-mfcc-feats wav.scp ark,t:features.ark
The features.ark file should be in text format using the command above.
Feel free to ask if you have any further questions...