Once you download the icon set open it in Sketch then go in the top bar select file -> add as library
. Once you've done that you can then select plugins -> manage plugins -> libraries
in the top bar and you should see the icons in the list. Make sure the blue check mark is checked next to the icon library in the list. You should now see the icons in your symbol list when you insert new symbols.
The docs explain this fairly well.
To use the Material icon sets in Theme Editor component symbols:
Download an icon set from the icons tab of the editor panel. With the
icon file open, select File > Add as library. This will add the icon
set to your Sketch libraries. You can then pull added icons into any
component symbol through the Sketch override panel.