If you are importing from a Chromium browser, you could move the Bookmarks and Favicons files from its %appdata% folder to that of Opera’s directly. You will find all your bookmarks in the Imported bookmarks folder without losing favicons using this approach.
Just tested!
That's a good way too.
For those without a chrome-made bookmarks file to copy, as a work-around you can download a chrome-based portable browser, as example Slimjet. Use it to import bookmarks from Firefox or some other browser. It will create the "Bookmarks" file. Now you have it to copy over the Opera one. If you have no further need of Slimjet portable just delete the folder you made for it.
Edit: Also this is a way to get bookmarks with Favicons attached. The old method of syncing with XMarx from a Firefox source does not seem to work with the new Opera.