Using the WordPress XML export doesn’t work in every case. Especially if you have to deal with plugins.
I had the best results if I first installed the theme and all plugins in the network, created a new site, activated theme and plugins (in case they create data base tables) and then import the WordPress XML.
For NextGenGallery it didn’t work, though. I had to copy all images and the data base tables manually. The path for each image needs to be mended with search and replace, since in the network installation you’ll use blogs.dir/<number>/ for uploads.