You need to use directional lights in your Design 3D CX model to get even lighting; directional lights are the only ones that transfer with the model. Put enough lights in your scene to make your object look good, from every angle.
Then export the file to Live 3D CX using Render Live 3D CX from the Render menu. Make sure to enable the Global Lights option in the Render Live 3D dialog.
Once in Live 3D CX, there are several ways to add lights and adjust the scene lighting, if needed. For more information, see Chapter 4, Section 4.3 in the User Guide. The User Guide is located in the Help Menu of Live 3D CX.