Make sure the pokemon holding the Dive Balls are in the PC of the game you're importing from. At the beginning of the game it says "Migrate from [game]", and it will prompt you to choose the 6 pokemon you want to import. Then your D/P game will start as normal. Just go the the Pal Park ingame and talk to the guy at the counter.
Then you have yourself a wild excursion where you've got to find your pokemon. Here's a guide to where you can find them in the different sections of the park.
Awesome, thanks for the info! *proceeds to transferring*