With all the integration of MS Office software, I would think that the Visio folks would have thought to allow us to save a Visio Drawing as a .design file so we could directly open the file with Expression Design. I don't see the feature in Visio 2010 beta yet, so the alternative is to use the Visio export to xaml add-in which can be found on codeplex. The xaml can be imported into Expression Blend, but I think it would be better to be able to open it directly in Expression Design.
It is kind of surprizing that save as xaml is not directly offered as a Visio feature yet either. With all the MS push for Silverlight development, one would think that this would be an obvious feature to include...