Try it out at http://surfmind.com/lab/msn/opml/
Wait until I tell you about combining this with macros! We've just posted the official blog post describing macros V2, following up on a core developer's account from a few weeks ago. There's still more to come.
There's another interesting extension to this technique -- creating a reading list from a search. Reading lists are groups of RSS feeds you can subscribe to, allowing the creator of the reading list to edit the list and you to get the updated feeds automagically. While support is limited across readers right now, it's a very cool idea. I'm not quite ready to invite a world of aggregators to ping my server regularly to get updates; perhaps someone out there is? The Live Search API is available!