The VDM in exr format is saved automatically to disk each time you leave the brush texture editor. Even if you batch import brushes while changing their sizes/color channels etc.

There are two possible output folders:

• When your blend file is saved -> exrs are stored right next to it in a separate folder called 'brush_images'.
• When your blend file is unsaved -> exrs are saved in a 'tmp' folder. (Renders are saved to the same location by default)

1. First of all, make sure your EXR doesn't contain any gradients. The process to export VDMs correctly from ZBrush can be found here https://youtu.be/F_uus4pQVPA?t=298
2. Save your Blend file (New brush images are saved in the same folder as the file)
3. Load EXRs from the add-on panel here: 

4. Use these settings:

The green (Y) and blue (Z) channels need to be swapped and multiplied by 2. 
EXRs from ZBrush look mostly green and should look mostly blue after importing.

5. Select the brush images in the file browser and hit import. Done.

The add-on can be accessed from within sculpt mode in View3D -> Properties -> Tools. Panel 'Brush Texture Editor'

- They have different pros and cons. See the example GIFs and the table below.

Height map

Depending on your use case, you might prefer one or the other map type. Once you made a brush, it can easily be converted between height and vector displacement map. Just edit the brush from the add-on panel and then select a different map type and hit 'Apply changes to brush and close'.