That is an option. If you install the ImportExportTools NG add-on in Thunderbird you can export all your emails to eml, keeping the folder structure. Then it is simple to just import that structure directly into eM Client.
Or using eM Client’s import function, just import selected folders from Thunderbird without doing an export.
Either way, setting up the email accounts yourself in eM Client, rather than importing them, is a good idea.