Kenneth Kirksey has posted two AppleScripts on the Yojimbo mailing list for importing your del.icio.us bookmarks into Yojimbo, complete with all your tags. You can get these scripts from the mailing list archives of course, but Kenneth gave me permission to host both of them here on TUAW to make things easier on you readers.
The first script, titled All del.icio.us to Yojimbo, imports all your del.icio.us bookmarks into Yojimbo, bringing along all of your tags to boot (If you're a messy tagger, I highly recommend tidying up your del.icio.us tags before you run this script). Per Kenneth's instructions, you simply need to download the text file we've zipped for you, copy all the code from the file into a Script Editor window, and then edit the "set delAccount" and "set delPassword" lines to add your account details in quotes.
The second script, called Last del.icio.us to Yojimbo, simply imports your most recent del.icio.us bookmark into Yojimbo. Same instructions apply.
Since these scripts make use of Yojimbo 1.3's new tag feature, I'm pretty sure these won't play well with previous versions. Feel free to share your experiences with the scripts here, and be sure to hit up the Yojimbo mailing list if you need more help with them.