Basically ↑ is correct :)

Let me add something:

Characters are not entirely compatible between the base game, and standalone expansion. The base game saves in .SV format, and standalone expansion pack saves in .HSV.

However, if you want to experiment, you can copy the .SV character file from the base game:
Original game: \GOG Games\Diablo
or
DirectX 9 base game: \GOG Games\Diablo\dx

to Hellfire folder: \GOG Games\Diablo\hellfire


Once the file will be copied, change it's extension from .SV, to .HSV, for exmaple:
from:
single_0.sv

to
single_0.hsv