Is there a clever way import my Mail.app rules to iCloud?
Try this. Go to iCloud.com and log in. 

Select mail.

On the bottom left of the window, there is a cog:



Select that, and then Rules:



Finally, a window opens, and you can choose to sync Rules, or add specific rules just for iCloud.com (I think that's right.. not totally sure).



The help page is also useful.