I couldn't figure out how to do it. I exported the private keys from Electrum, but I need help on Mycelium side..
Just install it in your phone and open it, choose "Restore backup" and select how much your word list and write it down.
If you backup it from private key, afaik you must create new first, and then go to option in top right corner(something like 3 dot, near refresh symbol) and choose cold storage. The clipboard will be gray, but if you copied it, it will be blue and just click it or scan it if you have qr code for your private key.