Generally, the parts come from other games (often from XNALara community rips) and then they export the SF4 skeleton and model using sloth86’s EMG2SMD tool and bring it all into Blender. Once there, they resize the XNALara (or whatever) model to match up with the SF4 model and then use a built-in weight transfer script to programatically rig everything. It’s not always perfect, though, and sometimes requires additional manual rigging. When that’s done, you export the whole thing back to SMD, convert back to EMG, then swap into an existing obj.emo. Segadordelinks wrote a nice tutorial about the process:
Backup your files you want to edit, then move them somewhere where you have write permissions (maybe your desktop). Drag the *.tex.emz onto the Asset Explorer and it should show up in the left side of the program where you can expand the contents. The textures will be inside things labeled #EMB and will be in DDS format.