Then one needs to import the templates themselves. Do that from your local Special:Import page after Special:Export -ing from the Wikipedia. Apart from the Template:Cite pages, you will also need the Module:Citation pages. It is the same type of things as far as the end user is concerned, just with a different name. A snapshot is shown how to do the exporting into a xml file:
(you just copy/paste the modules of interest in the form).