After playing with it for a while more I figured out the trick, although it's
not at all obvious. To import the data from one of my OE accounts, I had to
run OE and switch to the account I want to import from, then close OE, then
run Outlook, switch to the profile I want to import into, then do the import.
I had to do this for each account, but now all my data is in.

Andy