I'm just curious because we were given them as a separate folder.

I am also curious about it... I suppose that we just need to copy the folder where the game has been installed, I am going to try it now and I will say something about it.

Ok, if you unzip the bonus characters and look into the folder, you will find three subfolders, "aiv", "binks" and "speech". Going to the installed game folder (in my computer it was C:\GOG Games\Stronghold Crusader Extreme HD), you will find that it also has an "aiv" and "bink" subfolders BUT these two already seem to have the bonus characters files in them (at least when you install the Extreme HD version, I haven't installed the classic one).
The "speech" subfolder is missing... Or is it? It turns out that it's into the "fx" subfolder, and has already the files, like the two others... so you don't really need to copy them.

Oh right, thanks so much!!

How do you do this in OSX?