I'm sorry about that. It seems Panic decided to move the location of their data again! Boy, they must be very worried about importing their favourites to keep moving/changing the data...
I will get this fixed up for v1.8.8 (coming soon) but in the meantime, just copy all the data from here:
Mac HD -> Users -> Library -> Application Support -> Transmit -> Metadata
to here :
Mac HD -> Users -> Library -> Caches -> Metadata -> Transmit
Then try the import again.
FWIW I just verified that this works

Note that in Lion (if you're using that) Apple decided it would be a great idea to hide the Library folder from users.
You can access the Library folder by selecting Go to Folder from the Go menu in Finder then enter:
~/Library
... and click Go