The primary way Della and Jim show love for one another is through sacrifice. Della sacrifices her long, beautiful hair to get enough money to buy a special gift for Jim. Meanwhile, Jim sacrifices his family heirloom pocket watch to get enough money to buy a special gift for Della. Each one "sacrificed for each other the greatest treasures of their house."
Before Della has the idea to sell her hair to get money for Jim's gift, she was filled with disappointment. She cries because she only had $1.87 to spend on her husband's present. She wants to buy Jim a special Christmas gift and is sad and disappointed when she does not have enough money to do so.
Other evidence of their love is in the story. At the beginning, O. Henry wrote that, despite their financial difficulties, Jim was "greatly hugged" by Della each day when he returns home from work. After Della gets home from buying the gift for Jim, she looks in the mirror and begins to regret her decision to cut her hair. Jim loves Della's long hair, which was capable of "rippling and shining like a cascade of brown waters." She worries Jim will no longer find her pretty. When he arrives home, Jim reassures Della that no "haircut or a shave or a shampoo... could make [him] like [his] girl any less." Della realizes Jim loves her and thinks she is pretty even without her long hair.
Della and Jim each sacrifice something precious to give a gift as an expression of love. O. Henry shows their love through their willingness to sacrifice.