Materially speaking, Jim's gift involves more sacrifice since he must somehow earn enough to repurchase the watch, provided it is in a pawn shop. If it is not, he will have to buy a new one, which may not be as beautiful. Certainly, the watch has had sentimental value as well. For Della, her "replacement" will be of no financial cost and will also be much the same since her hair will not change; in fact, the new hair growth may be even prettier than before.
But, of course, neither Jim or Della dwell on this aspect of their gift-giving since they are loving, unselfish people--albeit "foolish" as O. Henry calls them. So, while Jim's is the greater sacrifice in a manner of speaking, they both have given the "greatest treasures," which are the unselfish sacrifice of each other's most prized possessions. And, therefore, they are both "the Magi."