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The RTF and the PDF Exporter can export footnotes. The Ulysses Manual includes a section on this feature. Additionally, the Screencast on exporting also covers footnotes.
I don't know about Twig and Devonthink, but Ulysses can import common text files, such as TXT, RTF, and DOC. In general, if the document is text, you can import it into the current project by simply dragging the document in question to Ulysses' icon in the dock.