How to add a 3rd party .c and .h file to SDK

I want to include a 3rd party library in the sdk and use it in https://github.com/MaJerle/lwgps which is a library for parsing NMEA messages.

I came across this ticket : from Nordic in which it was stated to add

 

# SPDX-License-Identifier: Apache-2.0

cmake_minimum_required(VERSION 3.20.0)
find_package(Zephyr REQUIRED HINTS $ENV{ZEPHYR_BASE})
project(external_lib)

target_sources(app PRIVATE src/main.c)

include(ExternalProject)

# Add an external project to be able download and build the third
# party library. In this case downloading is not necessary as it has
# been committed to the repository.

set(MYLIB_LIB_DIR     ${CMAKE_CURRENT_SOURCE_DIR}/lib)
set(MYLIB_INCLUDE_DIR ${CMAKE_CURRENT_SOURCE_DIR}/mylib/include)

# Create a wrapper CMake library that our app can link with
add_library(mylib_lib STATIC IMPORTED GLOBAL)
add_dependencies(
  mylib_lib
  mylib_project
  )
set_target_properties(mylib_lib PROPERTIES IMPORTED_LOCATION             ${MYLIB_LIB_DIR}/libmylib.a)
set_target_properties(mylib_lib PROPERTIES INTERFACE_INCLUDE_DIRECTORIES ${MYLIB_INCLUDE_DIR})

target_link_libraries(app PUBLIC mylib_lib)

but I don't understand what path should I add and I did'nt understand where to make changes in the above code I pasted. 

I am using Visual studio code, actinius icarus 

SDK :2.3.0

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