When I was going through the installation, it (the Thunderbird installer) asked me if I wanted to import from Mail. I did and it was smooth.
If you are doing after the fact:
" Go to ~/Library/Mail/ and root out the .mbox files in the finder. These are actually OSX packages. Select Show Package Contents and a new window will open revealing several files including a file named mbox. Copy that file to the subfolder called Local Folders in the folder Mail in your profile folder and rename it to something meaningful. This process needs to be done for each of your mailboxes. Finally start Thunderbird to see the new mail folders.
Mail 2.0 does not store message folders in mbox format; so you'll need to export your folders to mbox format. In mail.app, use Edit > Select All to select all messages in a folder, then use File > Save As to save the messages in "Raw Message Source" format. The resulting file will be an mbox file, that you can copy to your Thunderbird profile. "