Copy and Paste WP links file

The file wp-links-opml.php should exist in your blog’s top level directory:

https://www.example.com/blog/wp-links-opml.php

With the url (or as a file saved locally and uploaded) you could import your links through Blogroll > Import Links.

The problem with that method is that the blogroll categories are not preserved, and everything gets imported into one category.

just registering a solution:
– save a local file
– duplicate it as many categories you have
– give each one a proper name, i.e., links-category-name.xml
– edit each one, leaving only the block corresponding to its category
– import one by one assigning the right category