Here's a screencast that shows how Keypoints notes & their PDFs can be exported to DEVONthink:
Keypoints-01-DEVONthinkExport
By assigning Keypoints note IDs (or citekeys in case of PDF publications) as aliases to their corresponding records in DEVONthink, the "WikiLinks" feature in DEVONthink can be used. This allows the cross-links in the exported notes to also work within DEVONthink.
The export is performed via an AppleScript script which makes use of the scripting implementations of both apps. This allows for a fine-grained export that can be easily customised.
Note that the screencast has no sound but it'll hopefully still illustrate the process.