Zeal can add docsets shared by Dash automatically over the internet. You can do this using Edit > Options > Docsets > Download.
Sometimes, you may need a docset for a library that has not yet been added by Dash. Typically, you can find docsets created by others and shared on the internet. These can also be loaded into Zeal easily:
Download the docset zip file. Unzip it to obtain a docset directory.
Copy this directory to
Restart Zeal. You should be able to see your docset loaded.
Tried with: Zeal 20140215 and Ubuntu 14.04