Can you post the saves so they're already able to use on Dx64?
[A] First, you'll need something to open up zip files. You can get a WinRar trial here: http://www.win-rar.com/download.html
WinRar only annoys you with a popup after the trial period and doesn't stop you from using it indefinatly.
Second, you'll need Project 64 from here: http://www.pj64-emu.com/
Third, if you can't see file extentions with your computer you'll need to use Google to find out how to see extentions with your operating system. http://www.google.com/
Here's the process:
Step 1: With Project 64 disable "hide advanced settings" under Settings in the Options menu, in the Options tab.
Step 2: Make a copy of the exact same rom you want to use from your PSP onto your computer and open it in Project 64. Then make a savestate at any point you need it in the game. You can use Ctrl+S to make a savestate while playing.
Step 3: Click load in the System menu. Right click the savestate you made and select open in the right click menu. Just leave Project 64 and the zip file open for now.
Step 4: Start DaedalusX64 on your PSP and create a savestate in your game. The point you save at doesn't matter as we're going to replace it soon.
Step 5: Quit DaedalusX64 and connect the PSP to your computer. With your computer open up the SaveStates folder in the DaedalusX64 folder on your PSP. Open up the folder with the same name as the rom you're using, copy the entire file name (with its extension) of the saveslot you saved to, and delete the file afterwords.
Step 6: Select the winrar window with the zip file open. Drag the pj file to the game folder on your PSP. Lastly rename the entire pj file and paste in the old savestate name and you're done. Exit out of winrar and Project 64.
Step 7: Start DaedalusX64 on your PSP then load the saveslot you replaced and you're done.
It may be possible, but I wouldn't suggest trying to take a DaedalusX64 savestate and using it with Project 64. Try using the steps above accordingly if you feel the need to try.