Who are the Magi in 'The Gift of the Magi' ?
Jim and Della are the modern-day individuals being compared to the Biblical magi in The Gift of the Magi. O. Henry is presenting the story of two individuals who sacrificed "the greatest treasures of their house" - Jim's family heirloom pocket watch and Della's luxuriant long hair - in order to raise the money to purchase the perfect Christmas gift for the other.
His point is that the greatest gift of all is love. The Biblical magi, or wise men, gave material gifts. Jim and Della proved their wisdom by moving beyond the material level to give gifts that were selected with great thought, at enormous personal expense, to reflect the depth of their love for each other. This is the most important reason for giving gifts. "Of all who give and receive gifts, such as they are wisest."