On the command line, use the importprivkey command.
EDIT:
Using this utility? or the bitcoind utility? bitcoind --help doesn't show any options for importing a private key.I'm not 100% prepared to use a 3rd party utility unless/until someone confirms it works with the latest official bitcoind client and an unencrypted wallet.
In the standard client. Don't use
--help, just use
help.
--help means you are asking about startup parameters.
help means that you are asking about RPC calls / daemon commands.
It really is just
bitcoind importprivkey
but you may need to play with quotes and escapes, depending on your system. The WIF key is the one labelled Privkey: in vanitygen's output, it starts with a 5.