For example, I just created a section so that it had zero posts. I set up the feed, ran the import, and it pulled a random thread, put it in the new section, and replied to it with the RSS content.
Here's the site: http://sociallydeficient.com/
Admin CP access available upon request; any help appreciated!
EDIT: For example: this section had zero posts: http://sociallydeficient.com/forums/the-coliseum.55/
I ran the RSS import, and it picked a bunch of threads that were in a private section, moved them, and then posted the new content as a reply.