take a look at this:
In case you have trouble with the link, it is just the thunderbird faq, and there is a question about importing from kmail.
The basic premise is that Thunderbird reads the mbox file format (which I understand evolution uses). You can create this type of mailbox in kmail, but it is not the default format. You create a new folder in the mbox format, copy the mail into it, and then go to the shell and copy the actual file from the kmail directory into the appropriate directory for thunderbird to access (the faq tells you which directories to use). The same thing can be done with evolution, and you don't even need to convert the mailbox format.