Stepa below got me close but didn't work with my >3,500 / 125 MB messages in 3 folders. Got me close.
Entourage 2004 help says to import MBOX formatted files "2. Drag the MBOX-format text file to the Folders list."
1. To create the MBOX format I imported from Outlook 2007 to Thunderbird.
2. Found where Thunderbird hid my files (on Vista clicking on the path converts to classic C:\...).
3. Moved to my Mac.
4. Renamed the folders to include .mbox
5. Opened Entourage 2004
6. Dragged & Dropped