Invalid format for me as well. I tried two different wallets, one exported from wallet.bitshares.org and one exported from the PC console 0.9.3c client.
Edit: changing extension to .wif did
not solve the issue.

Edit 2:
OK, as it turns out, I had to first create an account on the OSX wallet. This was not explicitly stated on the conversion guide, but the pictures made it obvious. The only other scary thing about that was the fact that when I created the account, it said it failed but it did let me import all my keys after that. This was on the OS X wallet for anyone else who cares.
This guide was spot on except for creating your baseline 2.0 account.
http://docs.bitshares.eu/migration/howto-importing-wallet.html