Oha, that was very easy.

If you have Opera 12.16 install at "C:\Program Files (x86)\Opera" and it's properly (as in all the reg keys are correct) set as the default browser, when you launch Opera Mail for the first time, there will be a new import wizard (above all the other import wizards in the list) that will copy the folder over for you (and contacts.adr, wand,dat and the global mail preferences in operaprefs.ini). But, as you've noticed, it's as easy to do it yourself.