How to import the Disqus XML Exported Comments to Wordpress WXR
Instead of trying to generate a WXR file format it may be easier to parse the Disqus XML file and insert the comments you extract from there directly to the wp_comments table in your wordpress database. At least this way you have better control of the process.
The above plug-in may not work because Disqus changes from time to time the export format (strangely you cannot even use the exported file to import your comments back to Disqus again).
For my service I had to rewrite already twice the parser to adapt it to the small but annoying variations of Disqus XML
Did you take a look at this plugin?
http://wordpress.org/extend/plugins/disqus-comments-importer/
It looks limited but maybe a good starting point.