Funny -- I just did this yesterday for the first time.
I traded 6k Alaska MileagePlan for 5k Delta SkyMiles.
I clicked on 'accept' and paid the fees ($60) yesterday morning.
The DL miles showed up this afternoon in my account as:
Points.com GPX
Activity Date : 12 Oct 2011
...and are credited as 'Bonus Miles'.
Worked for me. I haven't bothered to log into my MileagePlan account and verify that the right number is gone, but I will one of these days.