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1. Export OPML
Login to CommaFeed. See your Profile page (the universal URL is https://www.commafeed.com/#/feeds/profile). Click the OPML export: Download link and it should download a small .xml file.
2. Import OPML
Open your Thunderbird. Go to menu Tools > Import > Feed subscriptions >
choose any RSS account exists > select OPML file to import (change the format chooser at bottom-right to "XML") > OK. At this step Thunderbird will import all feeds and download news from them.
Select Feed subscription:
Select your previously exported file:
Now you have imported your RSS feeds from CommaFeed (web reader) to Thunderbird (client reader). Enjoy them!