There are two separate issues in moving a collection from itunes to MC:
1. Getting the songs imported into MC.
2. Exporting and importing the Playlists from itunes to MC.
It looks like you've got #1 done. Yay.
You can export individual playlists from itunes as XML formatted lists. Then you can tell MC to import each playlist separately. Don't worry, this won't double up your songs or anything weird. It will just import the Playlists themselves. Imported playlists get put into a group called "Imported Playlists". You can drag them out of there to another playlist group if you want.
I've spent about 20 minutes reading old threads about this and doing my own experiments with itunes and MC. So far, I can't find any way of exporting more than one Playlist at a time from itunes. I also can't find any way of importing more than one playlist at a time. So, without further information, I *think* you have to export and import each playlist separately. Or rebuild them in MC.
The other thing to consider is that MC has so many more features and capabilities than itunes that a lot of itunes playlists aren't necessary any more. I'm not sure how your playlists are set up, but maybe the new features of MC will make some of your playlists unnecessary.
Good luck!
Brian.