You can add a Lightmass Importance Volume to a level by dragging a Lightmass Importance Volume object from the Volumes tab of the Modes menu into the level then scaling it to the needed size.
You can also convert a Brush into a Lightmass Importance Volume by clicking the Convert Actor drop down box inside the Details panel under Actor.
After clicking the drop down box, a menu will appear where you can select the type of Actor to replace the Brush with.
If you place multiple Lightmass Importance Volumes, most of the lighting work will be done with a bounding box that contains all of them. However, Volume Lighting Samples are only placed inside the smaller volumes.