How to import custom script to GRC?

Hi everyone,
I would like to built some flow graphs with GRC, but I need to write a
few custom python functions which I want to use in the flow graph. For
example I need to generate some filter coefficient and things like that.
I thought I just create a python script in the same folder, define some
functions, import the script with the Import block and I am good to go.
However, the Import block complains that the import failed and I cannot
start the flow graph.
What am I missing? What the the typical workflow in such case?

Best regards,
Fabian