The original magi are the three kings, also called the wise men, who brought gifts to the baby Jesus just after he was born. They brought him gold, frankincense, and myrrh because these were objects of great value. However, these gifts did not require sacrifice on the part of the givers; the kings were wealthy and so the value of their gifts was of no consequence to them. For Jim and Della Dillingham, on the other hand, the gifts that they give to each other require great personal sacrifice. Della sells her beautiful hair, her most prized possession, so that she can buy Jim a chain for his most prized possession, his gold watch. Jim, though, sells this watch so that he can buy Della combs for her beautiful hair. The narrator calls them

two foolish children . . . 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. Of all who give and receive gifts, such as they are the wisest. Everywhere they are wisest. They are the magi.

Therefore, in the end, the narrator says that Jim and Della are actually the wisest, wiser even than the original magi, because they realize something the three kings did not: the value of personal sacrifice in order to make the one you love happy. The gifts of the original magi were generous, to be sure, but Jim and Della's gifts were generous in a whole new, much more significant, way.

O. Henry intrudes at the end of the narrative of his short story, "The Gift of the Magi," and declares that Della and Jim are the Magi. This young married couple is considered the Magi because, like the three kings who came to see the baby Jesus, they give valuable gifts unselfishly.

Despite the fact that O. Henry states that the Magi gave wise gifts and Jim and Della are "two foolish children who most unwisely sacrificed," he yet compares the young husband and wife to the Magi: 

Of all who give and receive gifts, such as they are wisest....They are the wisest.

While this statement seems paradoxical when considered with the previous one that they "unwisely sacrificed," nevertheless, Jim and Della are wise in the sense that they understand the value of love. For, no material possession is as important as the happiness of the beloved. This Jim and Della understand because they have sacrificed their personal treasures in order to make their beloved spouse happy. In this sense, then, they are "the wisest." Like the magi, they have given valuable treasures up to the beloved.  

Jim and Della are the modern-day individuals being compared to the Biblical magi in The Gift of the Magi. O. Henry is presenting the story of two individuals who sacrificed "the greatest treasures of their house" - Jim's family heirloom pocket watch and Della's luxuriant long hair - in order to raise the money to purchase the perfect Christmas gift for the other.

His point is that the greatest gift of all is love. The Biblical magi, or wise men, gave material gifts. Jim and Della proved their wisdom by moving beyond the material level to give gifts that were selected with great thought, at enormous personal expense, to reflect the depth of their love for each other. This is the most important reason for giving gifts. "Of all who give and receive gifts, such as they are wisest."