One solution is to use Eluma, which is a pretty handy desktop client that handles bookmarks, RSS feeds, desktop alerts, social sharing, etc. Kind of like delicious on steroids. You can import your OPML feed from delicious, then organize by tags, folders and subfolders, etc. You might find you like it better than delicious. But if not, you can then export the OPML from Eluma back into delicious.
The new delicious includes very useful batch organizing tools. You need to get invited to try it, and I’d give you the link to add your email to the list, but apparently I can’t access delicious right now.