Significance of the title The gift of the magi

 "The Gift of the Magi" narrates the story of a young couple who sacrificed their most valuable things in order to give each other the best Christmas present. As the title itself hints, there is a deep Christian mythical connection to this short story.  According to Christian tradition The Magi or the three Kings (they also addressed as three wise men in different Mythologies) invented the practice of giving presents on the occasion of Christmas. 

As Bible remarks , the magi were the trio of kings who traveled to Bethlehem from somewhere in the far distance of east (probably Persia) to deliver three presents to the baby Jesus. Their journey itself was an act of sacrifice as they faced several hardships. To travel long in those days was very much difficult.  Thus, they were ready to sacrifice their royal life.

According to the story, the magi were wise folks. The gifts the magi gave to Jesus must have been wise too. This same idea reflects in the short story "The Gift of the Magi" at the end.
 

O. Henry conveys the idea that, they were in fact wise because they had each sacrificed their most valuable possessions for the person they loved most . They were

like the three wise men — the Magi—who brought presents for Jesus Christ after he was born.  this is why Christians still give presents on the occasion of Christmas to remember the gifts the Magi brought to little Christ on that very first Christmas.

Major themes

Sacrifice
Della and Jim give up the most valuable possessions so they can buy Christmas gifts for each other. They proved that their bond is that much intense and unshakeable.  A gift shall be the most valuable thing when someone sacrifice their own precious thing.

The concept of Beauty
Della is worried that Jim won't think she is beautiful with short hair, but Jim loves her far more than just her beautiful hair and how she looks. The physical beauty doesn't contribute anything to their happy life. It's all about the union of soul. In fact Jim and Della share a single soul separated by two bodies.

Family bond
Jim and Della are husband and wife and they love and admire each other. Jim's watch was his ancestral possession and consider as a great pride for him. Still, he sacrifices it to express to indicate his depth of love so that he can make his family strong.

Wisdom
Della and Jim were wise because they were willing to make sacrifices to show their love for each other. Their decision was very much wise as far as the writer is concerned.

Love
Jim and Della are the epitome of love. Their love is very firm in the sense that nothing can shackle it like financial condition or the physical beauty. Economically they were poor but emotionally they are rich. Love made them rich and happy.