Another theme is the material value or materialism. Here these folks are economically stretched. When they each give up an item for the other, it happens to be the most important item or object in the world to them. This shows that their relationship is of more value than things which is a strong point O. Henry is trying to make.
On the flip side, as each receive an item from each other because the items required to use the new gifts are gone, they have absolutely no value. So now, rather than them both having something they value, what they have materially is worthless and all they are left with is their relationship. This may not be such a bad deal after all.
One of the major themes in the short story "The Gift Of The Magi" by O Henry is the gift of giving - particularly in a loving marital relationship. The word Magi is significant in this theme as it is a reference to the Magi or three wise men/kings in the story of the Nativity of Jesus Christ in the christian religion at Christmas. Magi is another name for men of knowledge or wisdom - you may notice the similarity with the word magic. of course, another related theme is the idea of wisdom - so not only giving but wise and prudent giving. Jim and Della have love and lots of it, for each other. They also have generosity and unselfishness - but do they have wisdom in the manner of their giving and loving and in their choice of gifts?
The theme in the short story The Gift of the Magi is the theme of selflessness. The couple are young and married. They have very little money and Christmas is approaching. The man wants to give his wife something special and she wants to buy him something special.
The woman admires the mans watch that he inherited. She knows it means very much to him. It is the only item of value he owns. She sees some beautiful hair combs in a store window. He knows she wants them.
The woman cuts her hair; her favorite feature, to buy her husband an attachment for his watch. He sells his watch to buy her the combs. Each one has sacrificed the thing they had that mattered most to them. In the end it was a sacrifice of love.