You must create a directory in your app named fixtures and put your fixtures files there.
You can write them in json or xml, one easy way to make them is to create some objects in the admin interface and then run manage.py dumpdata. That would dump the data from the objects you created into fixture files. After that you could simply edit those files to suit them to your needs.
You can have fixtures with initial data that would be automatically loaded when you run syncdb, just create a file named initial_data and Django would recognize it.
If you want to dump the entire site, you don't need to specify a fixtures dir in the settings, you can make a fixtures dir in your project and run this