As well as importing SVG as an Asset, Cavalry supports pasting SVG code from other applications into the Viewport. Pasting svg code from the clipboard will create a Custom Shape containing the copied paths.
A (non exhaustive) list of other popular vector applications that support SVG:
Edit > Copy (cmd/ctrl + c)
Right click on a path and select Copy/Paste > Copy as SVG.
Serif Affinity Designer
Edit > Copy (cmd/ctrl + c). Ensure Copy Items as SVG is checked in Preferences > General.
To copy a shape to the clipboard as SVG from Cavalry, select a shape(s) in the Viewport and
right click > Copy as SVG.