You can import the bookmarks from various browsers and this will either create new search sets (if Window > Search Sets is active) or new bookmarks (if a browser window is active).
To use the latest Safari bookmarks for browsing (e.g. the bookmarks pane and the Go menu), just enable them via Preferences > Bookmarks and nothing has to be imported.
Christian, I do have Preferences > Bookmarks enabled, but I get nothing in the Bookmarks pane or Go menu. Everything is greyed out. Under File > Import, only Sets and OPML are black. Under the GO menu, only Add under Workspaces is available.
Think I have a corrupted install? Everything is working fine on my regular computer, but as I indicated, its running SL. The MBA is running Lion.