Well, it depends on the source of your .obj file.
While the file format description at wikipedia seems to be reduced to just triangles, you should know that wavefront was a complex thing.
Here is a more detailed format description:
http://www.fileformat.info/format/wavefrontobj/egff.htm Instead of exporting the data as .mdl file, you could also create a dummy entity on the fly, retrieve its DirectX pointer and replace its geometry with your imported data.
The "higher languages" forum should be a good source for additional informations.