Yes, that is the way. The mails are impossible to import directly from
GoDaddy. Once you have them in a pst-file you can automate the import
process via a Powershell command.
Another way to go would be to have them configure Outlook with the Exchange
account as the default delivery location and then configure the GoDaddy
account as well. Mails will be directly downloaded into the Exchange mailbox
then.

Signature
Robert Sparnaaij [MVP-Outlook]
Coauthor, Configuring Microsoft Outlook 2003
http://www.howto-outlook.com/
Outlook FAQ, HowTo, Downloads, Add-Ins and more
http://www.msoutlook.info/
Real World Questions, Real World Answers
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> I am installing an Exchange 2007 server for a small company (~120
> employees). We currently use Godaddy for our email and we either
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> mailboxes? Any help would be greatly appreciated. Thanks
> Joe