Hot on the heels of the release of CFSelenium, I have created a Firefox plugin that will allow you to export scripts from Selenium-IDE in CFSelenium format, wrapped inside an MXUnit test case. The plugin is dead simple to use, simply add the extension to your installation of Firefox and you'll see a new menu item in Selenium-IDE under File - Export Test Case As..., Options - Format and Options - Clipboard Format. The menu item is labelled CFML (ColdFusion) Selenium RC (MXUnit). Choosing this menu item will translate your current test case into CFSelenium format, wrapped in an MXUnit test case.
The Firefox extension is available in the distribution at both GitHub and RIAForge, and will hopefully be made available at SeleniumHQ once it's found to be stable. I'm sure it could use some improvements, so please give it a try and let me know what you think of it.
I was able to create the Firefox extension by basically copying and modifying the source code for the Grails Formatters created by Rob Fletcher, so a big thank you goes out to him for making the job simple and painless.