Let us start by saying that we do not recommend to import the demo data at all. Why? Because you are basically bloating your site with data you will eventually want to to get rid of sooner or later.
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You may be tempted to have your site to look like the demo quickly and then start customizing it to your needs, but you are actually making a lot of unnecessary work for yourself. Our professional advice on how to build the site using this theme (or any other WordPress theme for that sake) is to read the documentation first (at least just browse the titles).
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Then (after you install the theme and all its plugins) head to Appearance / Customize and browse through all the available options to familiarize yourself with the theme. Then go back to the documentation, head to Post-Installation Setup and simply follow all the steps, read all chapters thoroughly and apply all that knowledge to your own site. That said, it is up to you of course. If you want to proceed with the demo import, read further.