This is nearly the same importer that we deployed to WordPress.com a few months ago. You can read about it on the WordPress.com blog. A few adjustments had to be made to make this plugin compatible with self-hosted WordPress blogs, but the functionality is basically the same.
When you have the Vox Importer installed, click on Tools -> Import from the WordPress admin screen. You should see Vox in the list of importers.
Type in your Vox host name, user name, and password. Click the Submit button. The importer will now validate your login credentials with Vox.
If the authentication succeeds, the import will now begin. Depending on the amount of posts, comments, and attachments the import may take a while. You can not navigate away from this page while the importer is working.
If the importer times out or runs out of memory during the import, just keep restarting it until it finishes. The importer keeps track of what it has already imported so that you don’t end up with duplicate posts.
If you have posts marked as private on your Vox blog, they will be marked as private in WordPress. You can optionally set a password for all posts imported from Vox.
Here is a potential gotcha. If any post with attachments is set to hidden, the importer can not import the attachments. The reason for this is because Vox does not give us the option to send authentication credentials when viewing or downloading attachments. The work around for this would be to set the posts to public in Vox, then run the importer. This works, but could get quite tedious if you have a lot of hidden or private posts with attachments.
Edit: I just realized that I had comments disabled on my site… fail. If you have any issues with the importer, please leave a comment or send me an email via my contact form.