Import private key in HSM Luna SA
This is what is reported in the thales documentation:
Private Key Import/Export Private keys can be imported and exported with existing PKCS#11 functions. 
They can be imported and exported only if the HSM uses the key wrap model instead of cloning.
Import a key by calling C_Encrypt*() on the serialized key followed by C_UnwrapKey(). Exporting keys by calling C_WrapKey() followed by C_Decrypt*().
Use C_WrapKey() and C_UnwrapKey() to store keys off the HSM, or to move them between HSMs.

I don't know the use of PKCS11;

which key is used for the wrap?