I tested the RSS Import feature in alpha 6 (import-rss.php). It works! Great! I see that it auto-creates the category in the category list as well. Nice.
Problem: Posts from the imported RSS feed which have XHTML tags <b> and
end up displayign the tags instead of converting them into and... ??
You can see an example of posts that were imported like this here
I know there's a workaround for this.