I should have posted this sooner, but I forgot. My Serendipity to WordPress post importer (v1.4) has been upgraded! Simone Tellini took it (in the spirit of which this software was originally released, way back when) and updated the importer to support nested categories (and of course re-released it).
To make sure the software continues to be available, I’ve taken (with permission) Simone’s updated version and checked it into my Google Code SVN repo (SVN direct).
Enjoy!