Final Cut Pro X can’t import MXF files yet, not sure why not. There are several apps around that can convert from MXF to MOV, but they’re all paid and some are pretty expensive.
ffmpeg can do this trivially (losslessly), here’s an example:
ffmpeg -i CC081401.MXF -codec copy -map 0 CC081401.MOV
There a bunch of other apps around like VLC (which seems to crash on export) and HandBrake (which doesn’t support lossless container conversion). So I was trying to find another method but unfortunately ffmpeg on the command line seems like it so far. But I might create an Automator workflow for it too…