When you download a VST instrument, it will usually contain a .dll which can be loaded with VeSTige. If your download instead includes a .exe, it will need to be installed before you can use its .dll in LMMS.
You can load VST Instruments in 2 ways:
From the SideBar (drag .dll to Song Editor, or right-click on it for more options)
From VeSTige (open .dll through GUI, click the Folder symbol)
LMMS can save and load VST presets:
Name the instrument
In the VeSTige window, click on the save icon
Loading saved VST presets is just as easy:
Right-click the preset in sidebar and click "Send to New/Active Instrument Track"
Alternatively, just drag the preset into Song editor.
These are different from VST instruments in that they are not loaded through VeSTige. Instead you must point "VST-PLUGIN DIRECTORY" to the folder that contains your .dll. If you have VST .dlls spread across multiple folders, you can use symlinking to connect them all to a single folder.
Once you have installed your VST effects and pointed LMMS to your VST directory, restart LMMS. They should now show up in the "Add Effect" dialog box.
For VST instruments, open the VeSTige GUI and click on the Wrench icon. This will show all of that VST's automatable parameters, which you can then automate as you would any other parameter in LMMS (Ctrl+Left Click+Drag onto an Automation Track).
For VST effects, click the "Controls" button on the effect in the Effects chain, then click the Wrench icon. From here you may automate the VST effect as you would a VST instrument.
You need to install Wine before you install LMMS' AppImage for Linux. The first time you start LMMS through the AppImage file, Wine may ask you to install upgrades - be sure to accept them all. Afterwards go into Edit > Settings > Misc, and Disable Sync VST plugins to host playback. This works best for Linux.