The first issue people have is finding the import tool, although it is a plugin which needs downloading and installing, it is not in the plugin section, but in the Settings tab.

The second issue people have is that there is a default 2mb limit in most hosting environments, and every blog I have come across have xml exports far larger than 2mb, this can be easily overcome by editing the 2 lines in your php.ini

upload_max_filesize = 2M

post_max_size = 8M

As a guide these can both be be changed to 100M on a dual core system with 4gb of ram.

The third issue then is where is my php.ini, running

php --ini

will often find it, but you may find more than one so look in /etc/php5/, you then may come across another issue, that some hosts do not let you manage your own php.ini, but they will always comply if asked to make the changes.