Yes the importers are built in.
Admin CP > Tools > Import External Data
It would usually be advisable to do at least one test import, first, before jumping in and doing anything that would affect your live data.
One way to do this would be to install XF into a different directory, e.g. /xfforum/ perform the import and make sure it works as expected.
Once you're ready to do it for real, do another clean install into e.g. /xfforum/ then rename /forum/ to /ipbforum/ and then rename /xfforum/ to /forum/.