There are two ways to import PDF's and annotate on them.
Print directly to OneNote.
On your web browser (Chrome, Firefox, etc.), either download the PDF to your computer or select to print the document directly from the Internet (depending on the type of file and the printing format).
If downloaded, click to load the PDF through your chosen web browser, and hit the printer button. Then change the printer option to Send To OneNote.
If you selected print, immediately choose Send To OneNote.
Click print, and wait for your device to open or load OneNote. A folder should pop up asking which notebook and section you wish to save the PDF in.
Choose the notebook and section, and select OK.
The same methods can also be used with other files such as Word documents or PowerPoint presentations.
Download the desired PDF file. If it requires the user to choose where to save the file, put it somewhere that is easy to find; otherwise, it will save in the Downloads folder by default.
Now in OneNote, select Insert.
In the Files sub-section, choose there are two different options: File Printout and File Attachment.
Be wary of selecting the File Printout option as it will display each page of the PDF as an individual page in the Notebook. This may be negated by going into File, then Options, then Advanced, then scrolling down to Printouts, and unchecking the Insert long printouts on multiple pages.
File Attachment will give two options to either simply insert a link to the document you have saved or to use the File Printout option.
Using these methods other files like Word and PowerPoint files may also be imported in for annotation.
Other Resources: Check other related articles at the OneDrive and OneNote Home page.