There’s no “import” or “convert” that does this automatically. In fact, I’m not even familiar with the way that JDeveloper sets up projects. So, before doing any of that, you might want to look at the “Working With Web Projects” quickstart in the documentation section (http://www.myeclipseide.com/ContentExpress-display-ceid-67.html) so you have a good idea on how things work in MyEclipse. From that it should be straight-forward to map things over by creating fresh projects of the appropriate types within MyEclipse and then simply copying your development artifacts (HTML, JSP pages, Java, etc) into the appropriate location within those projects.
For how to configure and debug on OC4J, this thread has a log of good content:http://www.myeclipseide.com/PNphpBB2+file-viewtopic-t-2460.html
When you’ve gone through those and have some specific questions, please feel free to ask and we’ll help out as much as we can.