Hi!
.sage files are essentially scripts in the Sage variant of Python. There are a few things you can do to run it.
1) Use the command-line interface on your VirtualBox installation and run them there (this should work the same way you import other ones).
2) Use the "Data" drop-down menu in the Sage notebook to upload the file, and do attach DATA+"my_file.sage" as the first cell you evaluate. (Untested, you may have to not use quotes or something.)
3) Copy and paste the entire .sage file into a first cell of the worksheet and then do %hide at the top to 'hide' it...
I hope one of these helps.
- kcrisman