You just give it the name of your blog, it scrapes all the content, and then you download a complete copy of the content in a WordPress XML format.
In WordPress, you must import this data as if it were from another WordPress blog, and not as if it were from tumblr.
WordPress’s own tumblr importer requires you to give out your password. Uh… no, guys. Jeff Atwood already wrote about why that’s a bad idea:
they have effectively asked for the keys to my house in order to riffle through my address book.