If you only want to import your concerts from last.fm to setlist.fm and match them with existing setlists; that is easy (and has nothing to do with the API :-)) , there‘s a feature, check out the FAQ item Importing attended concerts from other sites

Note that this feature has nothing to do with the API and you don‘t require an API key whatsoever – you only need a account.
As for the API: currently there‘s no API method to get data based on user names.

hope that helps

clooz, as far as I‘ve found, this only works once a day (could be once every hour or so) but it definitely won‘t work if you do an update, then add a concert in Last.fm, then try an update shortly after.