How do I install the market on my SDK?

AFAIK, you can't. However, if all you want is view the market, you can check it out at Android Zoom

So the only way to put your app in the emulator is to manually import the .apk file?

From the command line, you can install your signed app using adb typing "adb install yourfile.apk" while your emulator is running. Not sure if this is what you mean by "manually import", but yes, this is the only way.

To install an unsigned app, you can just run it from Eclipse of course.