How do I import an activity with multiple target contacts?
I've tried various ways of importing complex entities. At the end of the day, the best tip I have to offer you is to write a small program to create the entities via the api.

You can either run it on the server (php) or run it over REST (php or my current favorite, node.js)

I found it much easier to deal with edge cases, errors, weird matching logic...

If you are on drupal, check Eileen work to integrate with the migration module

If you are prepared to invest a significant amount of time learning kettle, amnesty spain has shared a module to make it easier to pull or push data from civicrm.