Sorry for the lacking manual, we plan to work on that.
It’s turning out that the splines are issues for quite a few people and it’s not easy to export them. For that reason we are already working on an update that will allow you to do more or less the same via meshes.
For now - spline guides need to grow from the vertexes of the mesh. Then they need to be exported to fbx and they should be exported alone.
Once you export them into fbx (and you can do that directly into the UE content folder) gFur will recognize the file and import it as fur guides.