I have had the most frustrating process with a theme to get a demo install done, the theme used a custom built importer which never worked because the files were on an external server which couldn’t be reached. We had to contact the author and get them to manually do the import for us.
The author could have avoided all of this by putting the demo backup files in the theme download.
Also if you use a custom import tool, still include the default WP WXR file to make it easy to install just the content.