Login to your Bitfinex account.
Navigate to the reports page.
Click on the Trades link.
Select the full date range of your trading and all pairs.
Select Export button and select the following options in order to download your CSV file.
It is very important you select the MM-DD-YY format and enable DISPLAY MILLISECONDS.
Not selecting these will lead to warning trades.
Navigate to the Bitfinex tab on the Import Trades step and upload your CSV file.