Have you reviewed our tutorial videos on this topic on our website?
Some manufacturers provide the thermal description (.xml) files for PLECS already. For the rest, you will need to request the data from them or import the data yourself. For example, for the SKiiP 01NAC066V3 IGBT Six-Pack module, Figure 1 in the datasheet provides Conduction Loss curves for two temperatures, Figure 5 provides Turn-On and Turn-Off curves at one temperature (you should request temperature-dependence switching loss data from the vendor) and Figure 8 provides the thermal impedance curves.
Let me know if you have specific questions about this.