Just for reference, as of this writing, this function does not support importing multiple stylesheets. The following will output only the stylesheet transformation of the second imported sheet:

<?php

# LOAD XML FILE
$XML = new DOMDocument();
$XML->load( 'data.xml' );

# START XSLT
$xslt = new XSLTProcessor();

# IMPORT STYLESHEET 1
$XSL = new DOMDocument();
$XSL->load( 'template1.xsl' );
$xslt->importStylesheet( $XSL );

#IMPORT STYLESHEET 2
$XSL = new DOMDocument();
$XSL->load( 'template2.xsl' );
$xslt->importStylesheet( $XSL );

#PRINT
print $xslt->transformToXML( $XML );
?>

This wasn't documented and quite dissapointing.

For those who wants to use external documents, it is important not to use the DomDocument::loadXML because the processor will not have the path to look for other files
 
So if you want to transform some xml with a pre-generated stylesheet $f:

<?php
$f = 'somestylesheet.xsl';
$xsl = DomDocument::loadXML(file_get_contents($f));
?>

document('other.xml') will not work with relative path and <?php $xsl = DomDocument::load($f); ?> will!

This is not a problem. You may set DOMDocument's documentURI property. 
Something like this 

<?php
$xsl = new DOMDocument('1.0','UTF-8');
     
$xsl->loadXML(file_get_contents('/foo/bar/somefile.xsl');
$xsl->documentURI = '/foo/bar/somefile.xsl';

$xslProc = new XSLTProcessor();
$xslProc->importStylesheet($xsl);
?>

and document('other.xsl') will work fine!

PHP5 xsl processor has a different behaviour than PHP4's one with CDATA sections. (see http://bugs.php.net/bug.php?id=29837)
Loaded XSL sheet CDATA sections does not allow, by default, output-escaping handling (everything in the CDATA is escaped by default).

So in this case you can't build your XSL Dom the usual way:
    $xsldom = DomDocument::loadXML(file_get_contents('sheet.xsl'));

and must go through this one (allowing LIBXML_NOCDATA parameter):
    $xsldom = new DomDocument;
    $xsldom->load('sheet.xsl', LIBXML_NOCDATA);

Then the CDATA output-escaping behaviour will be correct.

To make your import dynamic, try this code:

<?php
$dom = new DOMDocument();
$dom->load('main.xsl');
$xpath = new DomXPath($dom);
$importnode= $questionsXsl->createElement('xsl:include');
$attr= $questionsXsl->createAttribute('href');
$attr->value = 'import.xsl';
$importnode->appendChild($attr);
$dom->documentElement->insertBefore($importnode,$ref);
$dom->loadXml($dom->saveXml());
?>

this code basically loads the main stylesheet, prepend the import xsl code then reload as xml string so the imported stylesheet will be loaded at dom.