Alright here's how you get the zombie models to work in SFM. You'll need to extract the Materials and Models folders from the TF2 Materials GCF files and import them into SFM via GCFScape. Next you need to know that only the non-HWM models have the zombie skins. The HWM models will not work.
Now open SFM and load a map then pic a TF2 character to work with. For this I'm going to use the Demoman.
Next you need to select his zombie skin, which in this case is 4 for the red one. Oh noes, Lieutenant Dan's got no legs! Anyway, to make this model "complete" again, we need his zombie item. The one for the Demoman is called demo_zombie.mdl. It should look like this.
The last thing to do it lock all the points together, or I think copying the animations from one onto the other would be easier, once you have everything locked to their respective points this is what you should end up.