You will have to rename it, for example to "pagerduty.cfg" before you import it. If you don't remove the "nagios" out of the name, you wouldn't be able to see it the import file list.
Hope this helps.
Be sure to check out our Knowledgebase for helpful articles and solutions!
Did everything you specified and it looks like it took it perfectly. I was able to apply the configuration and it looks like the proper settings were setup. So I went ahead and testing a notification and never got it to notify pagerduty. So I looked at the messages.log and found this:
Jun 20 16:42:55 nagios1 nagios: Warning: Attempting to execute the command "/usr/local/bin/pagerduty_nagios.pl enqueue -f pd_nagios_object=host" resulted in a return code of 127. Make sure the script or binary you are trying to execute actually exists...
It looks like something is trying to still look at pagerduty_nagios.pl....