What is the role of the Magi in O. Henry's story "The Gift of the Magi"?
The Magi are not literal figures within O. Henry's "The Gift of the Magi." Rather, the title is the reference to the presentation of gifts by the three wise men (or magi) to the infant Jesus.
In this story, a young married couple makes great personal sacrifices to buy each other beautiful presents for Christmas. Della Young has only $1.87 to buy her husband, Jim Young, a gift. In order to purchase a platinum fob chain for Jim's gold watch, she sells her hair to Madame Sofronie for $20.00. Meanwhile, Jim sells that same gold watch so that he may afford a set of pure tortoise shell combs for Della's hair.
Both have received gifts which are now ultimately useless to them, but the sacrifices that made those material items useless are in all actuality the more beautiful gifts... those acts of selflessness are testimony to the love that this couple has for each other.
The story concludes with a discussion of the parallels between these two:
The magi, as you know, were wise men--wonderfully wise men--who brought gifts to the Babe in the manger. They invented the art of giving Christmas presents. Being wise, their gifts were no doubt wise ones, possibly bearing the privilege of exchange in case of duplication. And here I have lamely related to you the uneventful chronicle of two foolish children in a flat who most unwisely sacrificed for each other the greatest treasures of their house. But in a last word to the wise of these days let it be said that of all who give gifts these two were the wisest. O all who give and receive gifts, such as they are wisest. Everywhere they are the wisest. They are the magi.
Thus, it is illuminated that Della and Jim (and all others who sacrifice out of love) are the magi: the greatest of givers and the owners of the supreme knowledge of devotion.