This is a good question. The main theme of the short story, "Gift of the Magi" is about the wisdom of giving. In other words, O. Henry crafts a masterful story about the idea that it is more blessed to give than to receive, which is very counter-intuitive in our society.
You can see this in the main action of the story. Each main character - Jim and Della - seek to give gifts that are meaningful. Both in the end wind up with gifts that they cannot use. So, the getting is not the point. The giving is the point. The reason for this is simple. When we give, we show love. This is the main point of the story.
Here is one quote, actually the voice of O. Henry:
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.