Is it possible to load a OBJ or MSH file as a collision shape?
No, it isn't possible (import it as a coll. shape). You have to import your object as a 3D Scene. OBJ files use 3D Mesh option.
Can not find this option in the editor.
But you can convert it manually! Import your OBJ model/models as a 3D Mesh, create MeshInstance node, load imported .msh file, click on Mesh button (in the bar under tabs next to the View button) and choose Create Trimesh/Convex Static Body. Done.
Is it possible to load it by GD-Script?
I don't think so.
I'm also interested in how collision meshes work in Godot.
Node CollisionShape needs a Shape, which is a Resource data type. Resources can be saved to files or built-in (packed in the scene). And they are documented right here. http://docs.godotengine.org/en/latest/tutorials/step_by_step/resources.html