This is the whole point of this short story. We can see that material possessions are not important to true love because of the way that the story ends, in particular.
At the end of the story, Jim and Della are even poorer than they were at the start. They still have little money and now neither has their most prized possession. But look at their attitudes at the end of the story. They are not annoyed at each other whatsoever. Instead, they are perfectly happy because they each know that the other truly loves them -- that is worth more than material goods.
There is one passage early in O. Henry's beautifully sentimental and gently humorous story, "The Gift of the Magi" that prefaces the point that both Della and Jim regard spiritual values such as love over material ones. For, O. Henry hyperbolically describes the pride that Della takes in her hair, as well as the pride that Jim has in his watch:
Now there were two possessions of the James Dillingham Youngs in which they both took a mighty pride. One was Jim's gold watch....the other was Della's hair. Had the Queen of Sheba lived in the flat across the air shaft, Della would have let her hair hang out the window someday to dry, just to depreciate Her Majesty's jewels and gifts. Had King Solomon been the janitor, with all his tresures piled up in the basement, Jim would have pulled out his watch every time he passed, just to see him pluck at his beard from envy.
Now, this passage proves that Della and Jim do, indeed, value greatly their material possessions. Yet, as much as they value these, their spousal love supercedes this pride. With only the slightest hesitation, Della sacrifices her most valued material possession for the happiness of her husband, Jim. For, she understands that spiritual values are the real, true values. When Jim receives his watch fob, he does not bemoan the loss of watch that he has sacrificed for Della's gift. Instead, he only parenthetically mentions it as of little importance,
"Della,...let's put our Christmas presents away and keep 'em awhile. They're too nice to use just at the present. I sold the watch to get the money to buy your combs. And now suppose you put the chops on."
This touching story stands as a great model for readers in modern society who would measure a person's worth by his/her material possessions. Indeed, it is the truth that lies behind O. Henry's fiction.
As Jim has gotten Delia the combs for her hair which she sold to get him a chain for the watch that he sold to ger her the combs, they realize that they have both sacrificed their most precious worldly possession out of a desire to get a good gift for that which is truly important to them in the world, the person they love.
Not only that, but they do not react with sadness, though they might have laughed together at the irony of the situation, they understand and feel deeply the fact that love drove them to make the decisions they did and they revel in that fact.