This plugin will let you import Disqus export file to your WordPress installation. It will match the url of the Disqus comments and import the comments to that post with the hierarchy intact. You can also use regex to filter out an url (this comes in handy if your URL Structure changed since you used Disqus ).

Using this plugin is very easy. Install the plugin then go to Tools -> Disqus Import on your WordPress dashboard. Get a Disqus export file by following the instructions here. Then upload the export XML file in the plugin page and let it do it's magic.