For the Gaviota EGTB support you'll need to download the Gaviota EGTB files. At the time of writing they are available for download at the address http://www.olympuschess.com/egtb/gaviota. Download all 145 files and save them in a directory on your hard disk. The total disk space required is about 7 GB. Alternatively you could skip the download and generate the tables directly on your own computer, please follow the instructions found at the Gaviota web site.
The location of the Gaviota EGTB files is specified in the GaviotaTbPath option. Houdini will scan the folder for the "kqkr.gtb.cpX" file and accordingly decide which compression level to use.
Gaviota web site.
For the Nalimov EGTB support you'll need to install the Nalimov EGTB files. At the time of writing they are available for download at the address ftp://ftp.cis.uab.edu/pub/hyatt/TB or http://tablebase.sesse.net. Download the files and save them in a directory on your hard disk. The total disk space required for the 3-4-5-men table bases is about 7 GB (290 files). The space requirement for the 6-men Nalimov table bases exceeds 1 TB.
The location of the Nalimov EGTB files is specified in the NalimovPath option.
Another way to get the full copy on hard drive is getting from amazon
The question here Does it worth it? all depend how much do you want to improve at chess