When you are looking for imagery, keep your eyes open for any descriptions that use the five senses--taste, touch, sight, sound, or smell--to describe what is going on in the scene. Imagery uses those detailed sensory descriptions to help the reader feel like they are right there, because they can sense the atmosphere, the sights, sounds, tastes, etc. of the scene itself. It really enhances the scenes, and draws the reader into the characters and the actions, like they there witnessing it for themselves.
O. Henry uses imagry in "The Gift of the Magi" to enhance the scene, and to help us feel Della's emotions. He uses imagery to describe the poverty of Della and Jim's situation. They have a "shabby little couch," which helps us to picture a worn-out, small sofa that has seen better days. The name of Dillingham on the mailbox is described as
"blurred, as though they were thinking seriously of contracting to a modest and unassuming D,"
which helps us to picture a worn through, down-trodden mailbox and nametag, symbolizing their high hopes that had not been realized.
Other great uses of imagery come in describing Della's appearances and emotions. O. Henry describes her crying fit as "sobs, sniffles, and smiles," helping us to imagine the messy cry that she had over the money. Then, when she gets her hair idea,
"Her eyes were shining brilliantly, but her face had lost its color within twenty seconds."
It is easy to picture her shining eyes and pale skin--it paints a picture of sudden excitement, and even a little dread. Her all-important hair
"fell about her, rippling and shining like a cascade of brown waters."
This beautiful description helps us to picture the absolute gorgeous nature of her hair, which makes the loss of it that much more sad.
O. Henry uses imagery to paint a picture of the Dillinghams' poverty, and of Della's intense desire to make her husband happy. It effectively draws the reader in, enhances the themes, and adds to the story's charm. I hope that helped; good luck!