I don't know of any type of plugin that will do that, although there seems to be plugins that do almost everything else. So it wouldn't surprise me if there was one.
I use
RSS Bandit to read the feed and turn it into HTML and then I edit it in Dreamweaver.
If your using WP2.1, I've been told that the future post problem has been fixed in it so you could then copy the HTML into a post and schedule it to post whenever you like.
If your using any version earlier than that, then you will need a third party program to post for you. Since I already had Blog Organizer, it made it possible to schedule everything in and I still get pings when I should.