Yes, you can just drag the Max 4 Live file into your Live project.
Or you can put the files into the Max for Live folder setup by default
This is located at: C:\Users\UserName\Documents\Ableton\Third Party Max4Live
for me on Windows. (sorry unsure of the Mac path)
Or you can use the 'Add Folder' link at the bottom of the Places section (Collections panel) and select a folder on your system where you are keeping 3rd party Max 4 Live files (this is my approach).