With this in mind, I propose that a FAQ be added to address this question.
LiveJournal does not provide any way to add a large number of entries from another site to your LiveJournal simultaneously. It is also not possible for your entries or their comments on another site to be transferred to your LiveJournal for you, even if the other site is running LiveJournal code. There is no way for entries that have been downloaded from another LiveJournal (see http://www.livejournal.com/support/faqbrowse.bml?faqid=67) or from a journal on another site to be uploaded to a LiveJournal.
The only way to add an external entry to your LiveJournal is to copy and paste the entry's text into the Update form (located at http://www.livejournal.com/update.bml). When doing this, you can set the appropriate date and time for the entry by changing the values in the "Date" and "Local Time" fields on the Update page. Adding an entry in this way will cause it to appear in your journal as though it were originally posted there on the date you specified. edit: If you choose to do this, you may need to backdate these entries (http://www.livejournal.com/support/faqbrowse.bml?faqid=91).
If you add external entries to your journal using this method, there is no way for comments posted on another site to be added to this entry for you. You can, however, include in the update a link to the original entry and its comments on the external site. The FAQ http://www.livejournal.com/support/faqbrowse.bml?faqid=67 explains how to add a link to an entry.
If you want to use the above method to copy a large number of entries from another journal to your LiveJournal, you may wish use a downloadable client to add the individual entries to your journal, which would eliminate the wait for pages to load. The FAQ http://www.livejournal.com/support/faqbrowse.bml?faqid=158 contains information on the available clients.
I know it's very wordy and possibly excessively detailed, so snip as you like. Anything else this needs? Or would this be a superfluous FAQ?