There is no need for Fragmo. Blender should be able to import X directly. In 2.6 you need to activate the DirectX im and export plugin though. Its deactivated by default. In case Blender 2.6 cannot read the X properly its probably an older derivate. In that case you can try Blender 2.49, which has an older X im and exporter.
Your best bet is to stay away from X nowadays. Makes too much trouble.
Keep in mind, when your exporting with a texture (like using fbx) it just transfers your working textures from your 3d program, to unity, and sets up the path. Another way to do this is have your textures in unity, and link them to your object in your 3d program, then when you export unity is usually good to connect it up for you - beyond this, if you just save your textures, and object as normal, and then drop them into unity, you can still manually apply this texture - which you’ll sometimes still have to do because stuff happens - in any scenario, you don’t need any third party programs to get that texture in, as its always saved separately and added onto the texture slot of whatever material your objects have on them back inside unity.