The differences between these stories are many. "Red Chief" is a comedy for the most part, "The Last Leaf" is a rather sardonic tradegy, and "The Gift of the Magi" is more of a touching tale of a couple's love. Chief is set in the old west with two outlaws, Leaf is in Greenwich Village in the early 1900's and is about two female roommates and an old man, and Magi is set in a town in an unknown time period and is about a young couple. So even the settings and characters are diverse and varied. Chief doesn't really have a moral or lesson, that is super obvious or serious anyway. Leaf does have a moral of unappreciated love or effort, and Magi has a very blatant theme of sacrifice and love. The stories even have a different feel to them. Chief is humorous, witty, and focuses less on a judgment of the characters and more on simply telling the tale in a humorous way. It is also in first person. The other two stories are in third person, and Leaf has a strong feeling of rather critical judgment of the people in the story; one senses O. Henry finds them shallow and unappreciative. In Magi, it is also in third person, but less judgmental; it is more a simple retelling of events.
I hope that thoes thoughts help to get you started; good luck! They are all great stories!