Mike, it sounds like you simply lauched XDCAM Transfer and Imported your clips … this is fine and it works very happily by this method (no need for FCP to be installed)
What you should have done is to choose Import > Sony XDCAM… from FCP’s file menu.
That sends the necessary dtat to the XDCAM Transfer app so that it knows which project you want the clips imported to … how else can it know?
Borjis, the workflow is an absolute treat. Very simple, and very much faster than realtime. You have to remember that you are no longer working with tape … if you approach the format from a linear / tape-based viewpoint you will certainly lose many of those benefits. Multiple processes all happening simultaneously in the background whilst you continue to edit/work is the key. Its a new age.