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Most likely, you aren't simply interested in creating terrain for its own sake - you need to get your terrain from World Machine into your other applications. Here's a list of workflows, both generic and specific, to help you along.

Choose your Workflow

(Generic) 3D Rendering Software (Generic) Game Map Creation
Terragen 2 Vue Unreal Engine Crytek Engine
Unity

... and more specific workflows to come!

World Machine To Terragen 2

Coming Soon!