How does O. Henry create tension and surprise in "The Gift of the Magi"?

One of the ways in which O. Henry creates tension in "The Gift of the Magi" is by using what many story writers, including screen writers, call a "ticking clock." This means that the viewpoint character, who in this case is Della, has a problem which must be solved quickly. She must solve her problem quickly because tomorrow is Christmas. O. Henry actually states the same thing twice.

One dollar and eighty-seven cents. And the next day would be Christmas.

A few paragraphs later the author says almost exactly the same thing.

Tomorrow would be Christmas Day, and she had only $1.87 with which to buy Jim a present.

The whole story is told from Della's point of view. We share her problem and her anxiety. We share her feelings when she makes the rash decision to sell her beautiful hair. Then O. Henry preserves the tension--or even escalates it. Although Della has the money to buy Jim a nice present, now she is worried that he won't love her when he sees what she looks like without her gorgeous hair.

“If Jim doesn't kill me,” she said to herself, “before he takes a second look at me, he'll say I look like a Coney Island chorus girl. But what could I do—oh! what could I do with a dollar and eighty-seven cents?”

O. Henry was noted for his "surprise endings." In this story the reader is taken by surprise because he or she has been kept strictly in Della's point of view (POV) and has no idea that her husband Jim has been wrestling with a similar problem because of that "ticking clock." Tomorrow would be Christmas and he doesn't have the money to buy her the kind of present he would like to give her to show his love. When he tells Della he sold his treasured watch to buy her a set of combs for her now missing hair, the tension is finally resolved in a sad-happy ending. They have both sacrificed the things they prized the most, but they still have what is far more important in life: each other's love.

O. Henry had a great idea. This is probably his best-known and best-loved story. Della solves one problem and just creates another problem. She sells her hair, but then she has to worry about her husband's reaction. Women's long hair meant a lot to them in O. Henry's time. F. Scott Fitzgerald deals with a similar theme in his short story "Bernice Bobs Her Hair."

What clues does O. Henry give to prepare for the surprise ending of "The Gift of the Magi"?

I would say that the ending was a good surprise. This is one of the reasons the short story is such a success and a classic. 

There are a few things that make the story a surprise. First, what is underlined right from the beginning is their poverty. In fact, the opening sentences show their poverty:

"One dollar and eighty-seven cents. That was all. And sixty cents of it was in pennies."

This leads the reader to expect a sad story. Second, the fact that each had only one thing of worth - Jim, his watch, and Della, her hair - also underlined their difficult situation. In other words, the reader does not know or anticipate that they would give these prized possessions away to buy a gift for each other. So, I would say that the story offers a surprise ending, which is heart-warming. 

Now, if we read the story a second time, we can see the clues that O. Henry left. For example, the emphasis on Della's long hair and Jim's watch foreshadows what might happen. But this is only because we know the end of the story. Without knowing the end, we would not come to these conclusions.